Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
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Publication:784782
DOI10.1007/s00186-019-00687-5zbMath1447.49057OpenAlexW2996447603MaRDI QIDQ784782
Maj-Britt Nordfang, Esben Kryger, Mogens Steffensen
Publication date: 3 August 2020
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-019-00687-5
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