Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
type: Item
instance of: scholarly article
title: Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
zbMATH Open document ID: 1402.91672
author: Zhiping Chen
author: Gang Li
author: Yonggan Zhao
publication date: 2018-11-01T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6970331
zbMATH Keywords: dynamic time consistency
zbMATH Keywords: mean-variance analysis
zbMATH Keywords: Markovian markets
zbMATH Keywords: optimal investment policy
zbMATH Keywords: Lagrange multiplier method
MaRDI profile type: Publication
full work available at URL: j.jedc.2014.01.011
OpenAlex ID: W2091519802
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DOI: 10.1016/J.JEDC.2014.01.011
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6970331