Browsing Waterloo Research by Author "Dang, Duy-Minh"
Now showing items 1-1 of 1
-
Time-consistent mean–variance portfolio optimization: A numerical impulse control approach
Van Staden, Pieter M.; Dang, Duy-Minh; Forsyth, Peter A. (Elsevier, 2018-11-01)We investigate the time-consistent mean–variance (MV) portfolio optimization problem, popular in investment–reinsurance and investment-only applications, under a realistic context that involves the simultaneous application ...