Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
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Publication:1994404
DOI10.1016/j.jedc.2014.01.011zbMath1402.91672OpenAlexW2091519802MaRDI QIDQ1994404
Gang Li, Yonggan Zhao, Zhiping Chen
Publication date: 1 November 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2014.01.011
mean-variance analysisLagrange multiplier methodoptimal investment policydynamic time consistencyMarkovian markets
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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