"A paradox in time-consistency in the mean-variance problem?"

Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam (2019)

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DOI: 10.1007/S00780-018-00381-0

access: closed

type: Journal Article

metadata version: 2020-07-22

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Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam:
A paradox in time-consistency in the mean-variance problem? Finance Stochastics 23(1): 173-207 (2019)

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