Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion

DOI10.1007/s11590-015-0970-8zbMath1414.91335OpenAlexW1940085213MaRDI QIDQ518137

Lu Xu, Xiangyu Cui, Yan Zeng

Publication date: 28 March 2017

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-015-0970-8

zbMATH Keywords

continuous time mean-variance modelpiecewise linear risk aversiontime consistent policy

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Cites Work

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