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"Continuous time mean-variance portfolio optimization with piecewise ..."

Xiangyu Cui, Lu Xu, Yan Zeng (2016)

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DOI: 10.1007/S11590-015-0970-8

access: closed

type: Journal Article

metadata version: 2020-07-03

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Xiangyu Cui, Lu Xu, Yan Zeng:
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion. Optim. Lett. 10(8): 1681-1691 (2016)

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