Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation | Zendy

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Constrained Utility Deviation-Risk Optimization and Time-consistent HJB Equation

Author(s) -

Jia-Wen Gu,

Shijing Si,

Harry Zheng

Publication year - 2019

Publication title -

ssrn electronic journal

Language(s) - English

Resource type - Journals

ISSN - 1556-5068

DOI - 10.2139/ssrn.3384245

Subject(s) - hamilton–jacobi–bellman equation , econometrics , economics , computer science , mathematical optimization , mathematics , bellman equation

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