Time-consistent investment policies in Markovian markets : a case of mean-variance analysis
Zhiping Chen; Gang Li; Yonggan Zhao
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Zhiping ; Li, Gang ; Zhao, Yonggan |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 40.2014, p. 293-316
|
| Subject: | Dynamic time consistency | Mean-variance analysis | Markovian markets | Optimal investment policy | Lagrange multiplier method | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Zeitkonsistenz | Time consistency | Investitionspolitik | Investment policy |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010424358