NDLI: MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION

Content Provider	Scilit
Author	Björk, Tomas Murgoci, Agatha Zhou, Xun Yu
Copyright Year	2012
Description	Journal: Mathematical Finance
Ending Page	24
Starting Page	1
ISSN	2573508X
e-ISSN	14679965
DOI	10.1111/j.1467-9965.2011.00515.x
Journal	Mathematical Finance
Issue Number	1
Volume Number	24
Language	English
Publisher	Wiley-Blackwell
Publisher Date	2012-02-03
Access Restriction	Open
Subject Keyword	Journal: Mathematical Finance Time Inconsistency Time‐inconsistent Control Dynamic Programming Stochastic Control Hamilton–jacobi–bellman Equation
Content Type	Text
Resource Type	Article
Subject	Finance Applied Mathematics Accounting Social Sciences Economics and Econometrics

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MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION