Optimal investment policy in the time consistent mean-variance formulation
From MaRDI portal
Publication:2442511
DOI10.1016/j.insmatheco.2012.11.007zbMath1284.91514MaRDI QIDQ2442511
Ju-e Guo, Zhiping Chen, Gang Li
Publication date: 3 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.11.007
Lagrange multiplier method; mean-variance; time consistency; Bellman's optimality principle; optimal investment policy
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