Pieter Van Staden

University of Queensland - School of Mathematics and Physics

Brisbane

St Lucia, QLD 4072

Australia

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Scholarly Papers (1)

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Time-Consistent Mean-Variance Portfolio Optimization: A Numerical Impulse Control Approach

Number of pages: 36 Posted: 27 Nov 2017 Last Revised: 29 Aug 2018
Pieter Van Staden, Duy-Minh Dang and Peter Forsyth
University of Queensland - School of Mathematics and Physics, University of Queensland - School of Mathematics and Physics and University of Waterloo - David R. Cheriton School of Computer Science
Downloads 97 (313,242)

Abstract:

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Asset Allocation, Constrained Optimal Control, Time-Consistent, Pre-Commitment, Impulse Control