Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation (Q5221327)
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scientific article; zbMATH DE number 7182122
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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