
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
Cui, Xiangyu, Xu, Lu, Zeng, YanVolume:
10
Langue:
english
Journal:
Optimization Letters
DOI:
10.1007/s11590-015-0970-8
Date:
December, 2016
Fichier:
PDF, 409 KB
english, 2016