Time-consistent mean-variance portfolio selection in discrete and continuous time
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- Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
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More about this item
KeywordsMean-variance criterion; Markowitz problem; Portfolio optimisation; Time consistency; Time-inconsistent optimal control; Local risk minimisation; Föllmer–Schweizer decomposition; Convergence of optimal trading strategies; 91G10; 93E20; 60G48; G11; C61;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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