Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
Crossref DOI link: https://doi.org/10.1007/s11590-015-0970-8
Published Online: 2015-11-03
Published Print: 2016-12
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Cui, Xiangyu
Xu, Lu
Zeng, Yan
Funding for this research was provided by:
National Natural Science Foundation of China (CN) (71201094)
National Natural Science Foundation of China (CN) (71201173)
Text and Data Mining valid from 2015-11-03