Mean-variance portfolio selection with non-negative state-dependent risk aversion

DOI10.1080/14697688.2020.1787492zbMath1479.91366OpenAlexW3082757038MaRDI QIDQ5014196

Jiaqin Wei, Zhuo Jin, Tian Xiao Wang

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1787492

zbMATH Keywords

forward-backward stochastic differential equationmean-varianceequilibrium strategytime-inconsistencystate-dependent risk aversion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)

Related Items (1)

Pairs trading under delayed cointegration

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