Time consistency of the mean-risk problem


Consider the dynamic mean-risk problem. Typically, the problem is scalarized and well known not to satisfy the Bellman principle. Thus, the classical dynamic programming methods are not applicable.We will show that when we do... [ view full abstract ]


  1. Gabriela Kovacova (WU - Vienna University of Economics and Business)
  2. Birgit Rudloff (WU - Vienna University of Economics and Business)

Topic Areas

Mean-Variance , Optimal Investment , Optimization


TH-A-SY » Time Consistency and Inconsistency (11:30 - Thursday, 19th July, Synge)

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