Time consistent policy of multi-period mean-variance
From MaRDI portal
Publication:2515277
DOI10.3934/jimo.2016.12.229zbMath1318.91178MaRDI QIDQ2515277
Zhiping Chen, Gang Li, Jia Liu
Publication date: 31 July 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016.12.229
time inconsistency; mean-variance; Bellman's optimality principle; Markovian markets; policy revision
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
91G10: Portfolio theory
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