Mean-variance policy for discrete-time cone-constrained markets : time consistency in efficiency and the minimum-variance signed supermartingale measure
Xiangyu Cui, Duan Li, Xun Li
| Year of publication: |
April 2017
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| Authors: | Cui, Xiangyu ; Li, Duan ; Li, Xun |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 2, p. 471-504
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| Subject: | cone-constrained market | discrete-time mean-variance policy | time consistency in efficiency | minimum-variance signed supermartingale measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12093 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011752513