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]

Authors

Alain Bensoussan

This author has not been identified. Look up 'Alain Bensoussan' in Google

K. C. Wong

This author has not been identified. Look up 'K. C. Wong' in Google

Sheung Chi Phillip Yam

This author has not been identified. Look up 'Sheung Chi Phillip Yam' in Google

Siu-Pang Yung

This author has not been identified. Look up 'Siu-Pang Yung' in Google