Mean-variance portfolio selection with non-negative state-dependent risk aversion
DOI10.1080/14697688.2020.1787492zbMATH Open1479.91366OpenAlexW3082757038MaRDI QIDQ5014196FDOQ5014196
Authors: Zhuo Jin, Jiaqin Wei, Tianxiao Wang 
Publication date: 1 December 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1787492
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forward-backward stochastic differential equationmean-varianceequilibrium strategytime-inconsistencystate-dependent risk aversion
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited In (7)
- Pairs trading under delayed cointegration
- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Mean-variance portfolio optimization with state-dependent risk aversion
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
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