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Inconsistent Investment and Consumption Problems
9 references·8 citing·24 second hop
Inconsistent Investment and Consumption Problems (2011)Inconsistent Investment and Consumption P…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Some Solvable Portfolio Problems with Quadratic and Collective Objectives (2010)Some Solvable Portfolio Probl…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…Investment and consumption without commitment (2008)Investment and consumption wi…Being serious about non-commitment: subgame perfect equilibrium in continuous time (2006)Being serious about non-commi…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…Robust reinsurance and investment strategies under principal–agent framework (2022)Robust reinsurance and invest…Time-consistent equilibrium reinsurance–investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework (2020)Time-consistent equilibrium r…Robust optimal reinsurance–investment strategy with price jumps and correlated claims (2020)Robust optimal reinsurance–in…Reinsurance–investment game between two mean–variance insurers under model uncertainty (2020)Reinsurance–investment game b…A regular equilibrium solves the extended HJB system (2019)A regular equilibrium solves …A paradox in time-consistency in the mean–variance problem? (2018)A paradox in time-consistency…Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models (2014)Time-Consistent Investment-Re…Deterministic mean-variance-optimal consumption and investment (2013)Deterministic mean-variance-o…Golden Eggs and Hyperbolic Discounting (1997)Doing It Now or Later (1999)Time Discounting and Time Preference: A Critical Review (2002)PORTFOLIO SELECTION* (1952)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)A theory of Markovian time-inconsistent stochastic control in discrete time (2014)On time-inconsistent stochastic control in continuous time (2017)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk (2015)The Framing of Decisions and the Psychology of Choice (1981)A Maximum Principle for SDEs of Mean-Field Type (2010)11. Reasons and Persons (1986)
this work references cited by second hop

References

  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems344 cited
  • 2008Investment and consumption without commitment285 cited
  • 2006Being serious about non-commitment: subgame perfect equilibrium in continuous time144 cited
  • 2010Some Solvable Portfolio Problems with Quadratic and Collective Objectives60 cited

Cited by

  • 2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims51 cited
  • 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models42 cited
  • 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty40 cited
  • 2020Time-consistent equilibrium reinsurance–investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework36 cited
  • 2022Robust reinsurance and investment strategies under principal–agent framework

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28 cited
  • 2018A paradox in time-consistency in the mean–variance problem?23 cited
  • 2019A regular equilibrium solves the extended HJB system22 cited
  • 2013Deterministic mean-variance-optimal consumption and investment15 cited