Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
type: Item
instance of: scholarly article
title: Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
zbMATH Open document ID: 1414.91335
author: Xiangyu Cui
author: Lu Xu
author: Yan Zeng
published in: Optimization Letters
publication date: 2017-03-28T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91A80
zbMATH DE Number: 6697599
zbMATH Keywords: piecewise linear risk aversion
zbMATH Keywords: continuous time mean-variance model
zbMATH Keywords: time consistent policy
MaRDI profile type: Publication
full work available at URL: s11590-015-0970-8
OpenAlex ID: W1940085213
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DOI: 10.1007/S11590-015-0970-8
description: scientific article; zbMATH DE number 6697599