A paradox in time-consistency in the mean-variance problem?

Alain Bensoussan Kwok Chuen Wong Sheung Chi Phillip Yam

Published in: Finance Stochastics (2019)

Keyphrases

utility function
consistency checking
quasi linear
portfolio selection
data sets
databases
neural network
artificial intelligence
information systems
feature selection
image processing
video sequences
evolutionary algorithm
constraint satisfaction
path consistency