Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
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Publication:2940757
DOI10.1137/130914139zbMath1348.60096OpenAlexW2054595450MaRDI QIDQ2940757
Kwok Chuen Wong, Sheung Chi Phillip Yam, Siu Pang Yung, Alain Bensoussan
Publication date: 20 January 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/217074
portfolio managementshort-selling prohibitionequilibrium Markovian controlwealth dependent risk aversion
Noncooperative games (91A10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integral equations (60H20) Portfolio theory (91G10)
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