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ArticleInconsistent Investment and Consumption Problems

Morten Tolver Kronborg2011

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Articlegreen2011

Inconsistent Investment and Consumption Problems

Morten Tolver Kronborg · Mogens Steffensen

42 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Financial Literacy, Pension, Retirement Analysis Risk and Portfolio Optimization

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References

1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2010Dynamic Mean-Variance Asset Allocation 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems 2008Investment and consumption without commitment 2006Being serious about non-commitment: subgame perfect equilibrium in continuous time

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2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty 2020Time-consistent equilibrium reinsurance–investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework 2022Robust reinsurance and investment strategies under principal–agent framework

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Year2011

Typearticle

Published2011-01-01

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-014-9267-z

openalex_workW1973400601

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2018A paradox in time-consistency in the mean–variance problem?

2019A regular equilibrium solves the extended HJB system

2013Deterministic mean-variance-optimal consumption and investment