Time-consistent mean-variance portfolio selection with only risky assets
Chi Seng Pun
| Year of publication: |
2018
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|---|---|
| Authors: | Pun, Chi Seng |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 75.2018, p. 281-292
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| Subject: | Abel's differential equation | Curse of dimensionality | Dynamic global minimum-variance strategy | Extended dynamic programming | Time-consistent strategy | Portfolio-Management | Portfolio selection | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Zeitkonsistenz | Time consistency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2018.07.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012101523