A paradox in time-consistency in the mean-variance problem?
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Publication:1711723
DOI10.1007/s00780-018-00381-0zbMath1426.91240OpenAlexW2903736201MaRDI QIDQ1711723
Alain Bensoussan, Sheung Chi Phillip Yam, Kwok Chuen Wong
Publication date: 18 January 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-018-00381-0
mean-variancetime-consistencyequilibrium strategyshort-selling prohibitionstate-dependent risk-aversion
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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