Mean-variance portfolio optimization with state-dependent risk aversion

Tomas Björk; Agatha Murgoci; Xun Yu Zhou

Year of publication:	2014
Authors:	Björk, Tomas ; Murgoci, Agatha ; Zhou, Xun Yu
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. 24.2014, 1, p. 1-24
Subject:	mean-variance \| time inconsistency \| time-inconsistent control \| dynamic programming \| stochastic control \| Hamilton-Jacobi-Bellman equation \| Portfolio-Management \| Portfolio selection \| Dynamische Optimierung \| Dynamic programming \| Zeitkonsistenz \| Time consistency \| Mathematische Optimierung \| Mathematical programming \| Kontrolltheorie \| Control theory \| Stochastischer Prozess \| Stochastic process \| Risikoaversion \| Risk aversion