Mean-variance portfolio selection with non-negative state-dependent risk aversion
Tianxiao Wang, Zhuo Jin and Jiaqin Wei
| Year of publication: |
2021
|
|---|---|
| Authors: | Wang, Tianxiao ; Jin, Zhuo ; Wei, Jiaqin |
| Subject: | Equilibrium strategy | Forward-backward stochastic differential equation | Mean-variance | State-dependent risk aversion | Time-inconsistency | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | CAPM | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1787492 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012483844