Time-consistent investment policies in Markovian markets: a case of mean-variance analysis (Q1994404)
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scientific article; zbMATH DE number 6970331
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-consistent investment policies in Markovian markets: a case of mean-variance analysis |
scientific article; zbMATH DE number 6970331 |
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Time-consistent investment policies in Markovian markets: a case of mean-variance analysis (English)
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1 November 2018
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dynamic time consistency
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mean-variance analysis
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Markovian markets
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optimal investment policy
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Lagrange multiplier method
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