Asset allocation with time variation in expected returns

DOI10.1016/S0167-6687(97)00021-8zbMath0914.90014OpenAlexW2086564949MaRDI QIDQ1381452

Hailiang Yang, Phelim P. Boyle

Publication date: 17 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00021-8

zbMATH Keywords

viscosity solutionrisk averse investorconsumption investment problemseveral asset classes

Mathematics Subject Classification ID

Application models in control theory (93C95) Optimal stochastic control (93E20)

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