Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Xiangyu Cui, Xun Li, Duan Li and Yun Shi
| Year of publication: |
December 2017
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|---|---|
| Authors: | Cui, Xiangyu ; Li, Xun ; Li, Duan ; Shi, Yun |
| Published in: |
Journal of the Operational Research Society : OR. - Basingstoke, Hampshire : Palgrave, ISSN 0030-3623, ZDB-ID 716033-1. - Vol. 68.2017, 12, p. 1647-1660
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| Subject: | investment analysis | state-dependent risk aversion | dynamic mean-variance formulation | time consistency | behavioral portfolio policy | Portfolio-Management | Portfolio selection | Theorie | Theory | Zeitkonsistenz | Time consistency | Risikoaversion | Risk aversion | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41274-017-0179-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011816054