Mean-variance portfolio optimization with state-dependent risk aversion

Mathematical Finance

Volumn 24, Issue 1, 2014, Pages 1-24

  Björk, Tomas ^a   Murgoci, Agatha ^b   Zhou, Xun Yu ^c  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b Department of International Economics and Management   (Denmark)

^c UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Dynamic programming; Hamilton Jacobi Bellman equation; Mean variance; Stochastic control; Time inconsistency; Time inconsistent control

Indexed keywords

EID: 84890147359     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2011.00515.x     Document Type: Article

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