Time Consistency and Optimal Policy Design
نویسندگان
چکیده
منابع مشابه
Optimal investment policy in the time consistent mean¬タモvariance formulation ¬リニ
As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic riskmeasure andoptimal investment policy. In this paper,we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal investment policy and obtain the following conclusions: if the dynamic riskmapping is time consistent a...
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تاریخ انتشار 2012