Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation

Jia-Wen Gu, Shijing Si, Harry Zheng. Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation. SIAM J. Control and Optimization, 58(2):866-894, 2020. [doi]

Abstract

Abstract is missing.