Open AccessTime consistent policy of multi-period mean-variance problem in stochastic markets
Author(s) -
Zhiping Chen,
Jia Liu,
Gang Li
Publication year - 2015
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2016.12.229
Subject(s) - consistency (knowledge bases) , variance (accounting) , economics , time consistency , conditional variance , conditional expectation , dynamic inconsistency , investment (military) , econometrics , cash flow , period (music) , mathematics , mathematical economics , financial economics , finance , autoregressive conditional heteroskedasticity , volatility (finance) , physics , geometry , accounting , politics , political science , acoustics , law
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom