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]
@article{BensoussanWYY14,
title = {Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting},
author = {Alain Bensoussan and K. C. Wong and Sheung Chi Phillip Yam and Siu-Pang Yung},
year = {2014},
doi = {10.1137/130914139},
url = {http://dx.doi.org/10.1137/130914139},
researchr = {https://researchr.org/publication/BensoussanWYY14},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {5},
number = {1},
pages = {153-190},
}