Multiperiod mean-standard-deviation time consistent portfolio selection
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Publication:2409276
DOI10.1016/j.automatica.2016.06.021zbMath1372.93216OpenAlexW2510867339MaRDI QIDQ2409276
Wei Wu, Hugh Bannister, Spiridon I. Penev, Beniamin Goldys
Publication date: 11 October 2017
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2016.06.021
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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