Time consistent strategies for mean-variance asset-liability management problems

zbMath1299.91180MaRDI QIDQ474010

Meng Wu, Nan-Jing Huang, Hui-qiang Ma

Publication date: 24 November 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (1)

Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion

This page was built for publication: Time consistent strategies for mean-variance asset-liability management problems