Optimal investment policy in the time consistent mean-variance formulation
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Publication:2442511
DOI10.1016/j.insmatheco.2012.11.007zbMath1284.91514OpenAlexW1971155245MaRDI QIDQ2442511
Ju-e Guo, Zhiping Chen, Gang Li
Publication date: 3 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.11.007
Lagrange multiplier methodmean-variancetime consistencyBellman's optimality principleoptimal investment policy
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