MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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Publication:5411392
DOI10.1111/j.1467-9965.2011.00515.xzbMath1285.91116MaRDI QIDQ5411392
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Publication date: 23 April 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10398/9097
Hamilton-Jacobi-Bellman equation; dynamic programming; stochastic control; time inconsistency; mean-variance; time-inconsistent control
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