Bellman type strategy for the continuous time mean-variance model
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Cited by:
- Peng, Xingchun & Wang, Yushuang, 2024. "A non-zero-sum investment and reinsurance game between two mean–variance insurers with dynamic CVaR constraints," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
- Yang Shen & Bin Zou, 2021. "Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process," Papers 2101.03954, arXiv.org.
- Shen, Yang & Zou, Bin, 2021. "Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 68-80.
- Shuzhen Yang, 2020. "Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis," Papers 2011.10966, arXiv.org.
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