Author:
Bensoussan Alain,Wong Kwok Chuen,Yam Sheung Chi Phillip
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Reference24 articles.
1. Basak, S., Chabakauri, G.: Dynamic mean–variance asset allocation. Rev. Financ. Stud. 23, 2970–3016 (2010)
2. Bellman, R.E.: Dynamic Programming. Princeton University Press, Princeton (1957)
3. Bensoussan, A., Wong, K.C., Yam, S.C.P., Yung, S.P.: Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. SIAM J. Financ. Math. 5, 153–190 (2014)
4. Björk, T., Khapko, M., Murgoci, A.: Time inconsistent stochastic control in continuous time: theory and examples. Working Paper (2016). Available online at
arXiv:1612.03650
5. Björk, T., Murgoci, A.: A theory of Markovian time inconsistent stochastic control in discrete time. Finance Stoch. 18, 545–592 (2014)
Cited by
18 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献