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scientific article; zbMATH DE number 6311577 - MaRDI portal

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zbMath1299.91123MaRDI QIDQ4980793

Zhiping Chen, Gang Li

Publication date: 30 June 2014

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

time inconsistency mean-variance Bellman's optimality principle policy revision stochastic markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

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Better than pre-committed optimal mean-variance policy in a jump diffusion market

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