Mean-variance portfolio selection with non-negative state-dependent risk aversion

DOI10.1080/14697688.2020.1787492zbMATH Open1479.91366OpenAlexW3082757038MaRDI QIDQ5014196FDOQ5014196

Jiaqin Wei, Tianxiao Wang, Zhuo Jin

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

zbMATH Keywords

forward-backward stochastic differential equationmean-varianceequilibrium strategytime-inconsistencystate-dependent risk aversion

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (3)

• Pairs trading under delayed cointegration
• Mean-variance portfolio with wealth and volatility dependent risk aversion
• Mean-Variance Asset Liability Management with State-Dependent Risk Aversion

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