Constrained utility deviation-risk optimization and time-consistent HJB equation (Q5221327)
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scientific article; zbMATH DE number 7182122
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| English | Constrained utility deviation-risk optimization and time-consistent HJB equation |
scientific article; zbMATH DE number 7182122 |
Statements
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation (English)
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25 March 2020
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utility deviation-risk optimization
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stochastic risk aversion
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incomplete market
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control constraint
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time-consistent dynamic programming equation
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0.784843921661377
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0.776279091835022
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0.7561020255088806
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0.7431390285491943
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0.7395380139350891
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