Optimal control of an objective functional with non-linearity between the conditional expectations : solutions to a class of time-inconsistent portfolio problems
Esben Kryger, Maj-Britt Nordfang, Mogens Steffensen
| Year of publication: |
2020
|
|---|---|
| Authors: | Kryger, Esben ; Nordfang, Maj-Britt ; Steffensen, Mogens |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 91.2020, 3, p. 405-438
|
| Subject: | Time-inconsistency | Quadratic portfolio problems | Optimal control | Equilibrium control laws | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Zeitkonsistenz | Time consistency | Nichtlineare Optimierung | Nonlinear programming | Nutzenfunktion | Utility function |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-019-00687-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012301603