Time-consistent mean-variance portfolio optimization : a numerical impulse control approach
Pieter M. Van Staden, Duy-Minh Dang, Peter A. Forsyth
| Year of publication: |
November 2018
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|---|---|
| Authors: | Staden, Pieter M. van ; Dang, Duy Minh ; Forsyth, Peter |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 83.2018, p. 9-28
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| Subject: | Asset allocation | Constrained optimal control | Time-consistent | Pre-commitment | Impulse control | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Zeitkonsistenz | Time consistency | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.08.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944090