Mean-variance portfolio selection with non-negative state-dependent risk aversion (Q5014196)
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scientific article; zbMATH DE number 7436791
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| English | Mean-variance portfolio selection with non-negative state-dependent risk aversion |
scientific article; zbMATH DE number 7436791 |
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Mean-variance portfolio selection with non-negative state-dependent risk aversion (English)
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1 December 2021
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mean-variance
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time-inconsistency
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equilibrium strategy
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forward-backward stochastic differential equation
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state-dependent risk aversion
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0.8170750141143799
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0.8162729740142822
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0.7984728813171387
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0.7935213446617126
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