Kongens Vænge 8
Time consistency; time inconsistency; stochastic control; dynamic programming; pseudo Hamilton-Jacobi-Bellman equation; mean-variance; mean-standard deviation; state dependent risk aversion.
Stochastic Control; Martingale Method; Life Insurance; Rate Guarantee; Option Based Portfolio Insurance; CRRA Utility
stochastic control; martingale method; option-based portfolio insurance; American put option; human capital; borrowing constraint; CRRA utility
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