On dynamic deviation measures and continuous-time portfolio optimization (Q1704138)

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On dynamic deviation measures and continuous-time portfolio optimization
scientific article

    Statements

    title
    On dynamic deviation measures and continuous-time portfolio optimization (English)
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    author
    Mitja Stadje
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    Martijn R. Pistorius
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    publication date
    8 March 2018
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    zbMATH Keywords
    deviation measure
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    time-consistency
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    portfolio optimization
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    extended HJB equation
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    cites work
    Q3613976
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    Q3415817
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    Probability
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    Q4778955
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    Q3149262
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    Identifiers

    DOI
    10.1214/17-AAP1282
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    Mathematics Subject Classification ID
    60H30
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    90C46
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    91G10
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    91A10
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    91B70
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    91G70
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    zbMATH DE Number
    6848268
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    arXiv ID
    1604.08037
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    OpenAlex ID
    W2962770003
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