Dynamic mean-variance problem with frictions
Alain Bensoussan, Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam
| Year of publication: |
2022
|
|---|---|
| Authors: | Bensoussan, Alain ; Ma, Guiyuan ; Siu, Chi Chung ; Yam, Sheung Chi Phillip |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 2, p. 267-300
|
| Subject: | Asymptotics | Dynamic mean–variance problem | Mean-field type control problems | Price impact | Time-inconsistency | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Zeitkonsistenz | Time consistency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-022-00474-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013197583