Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
Zhongbao Zhou, Helu Xiao, Jialing Yin, Ximei Zeng, Ling Lin
| Year of publication: |
May 2016
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|---|---|
| Authors: | Zhou, Zhongbao ; Xiao, Helu ; Yin, Jialing ; Zeng, Ximei ; Lin, Ling |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 68.2016, p. 187-202
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| Subject: | Portfolio choice | Stochastic cash flows | Pre-commitment strategy | Time-consistent strategy | Exponential utility | Portfolio-Management | Portfolio selection | Theorie | Theory | Cash Flow | Cash flow | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011492670