Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems
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Publication:5071492
DOI10.1137/21M1435422zbMath1486.49040MaRDI QIDQ5071492
Publication date: 21 April 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
dynamic programmingtime inconsistencytime consistencyBellman's optimality principlemean-variance portfolio selectionprecommitment approachgame theoretical approachdynamically optimal approach
Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Stochastic processes (60G99) Portfolio theory (91G10) Markov processes (60J99)
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