Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting

Alain Bensoussan, K. C. Wong, Sheung Chi Phillip Yam, Siu-Pang Yung. Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting. SIAM J. Financial Math., 5(1):153-190, 2014. [doi]

Abstract

Abstract is missing.