MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED...

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Mathematical Finance 2015 / 06

MEAN-VARIANCE POLICY FOR DISCRETE-TIME CONE-CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM-VARIANCE SIGNED SUPERMARTINGALE MEASURE

Cui, Xiangyu, Li, Duan, Li, Xun
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Language:
english
Journal:
Mathematical Finance
DOI:
10.1111/mafi.12093
Date:
June, 2015
File:
PDF, 496 KB
english, 2015
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