A paradox in time-consistency in the mean-variance problem?
Year of publication: |
2019
|
---|---|
Authors: | Bensoussan, Alain ; Wong, Kwok Chuen ; Yam, Sheung Chi Phillip |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 1, p. 173-207
|
Subject: | Time-consistency | Mean-variance | State-dependent risk-aversion | Equilibrium strategy | Short-selling prohibition | Zeitkonsistenz | Time consistency | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | CAPM | Spieltheorie | Game theory |
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