Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion (Q518137)
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scientific article; zbMATH DE number 6697599
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion |
scientific article; zbMATH DE number 6697599 |
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Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion (English)
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28 March 2017
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piecewise linear risk aversion
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continuous time mean-variance model
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time consistent policy
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