Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
type: Item
instance of: scholarly article
title: Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
zbMATH Open document ID: 1417.91558
author: Pieter M. Van Staden
author: D. M. Dang
author: P. A. Forsyth
published in: Insurance Mathematics \& Economics
publication date: 2018-11-19T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 65M99
zbMATH DE Number: 6981071
zbMATH Keywords: asset allocation
zbMATH Keywords: constrained optimal control
zbMATH Keywords: time-consistent
zbMATH Keywords: pre-commitment
zbMATH Keywords: impulse control
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2018.08.003
OpenAlex ID: W2772601807
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DOI: 10.1016/J.INSMATHECO.2018.08.003
description: scientific article; zbMATH DE number 6981071