Login / Signup

Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon.

David LandriaultBin LiDanping LiVirginia R. Young
Published in: SIAM J. Financial Math. (2018)
Keyphrases
  • equilibrium strategies
  • risk aversion
  • utility function
  • nash equilibrium
  • decision making
  • investment strategies
  • dynamic programming
  • linear programming
  • decision theory
  • long run