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Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
16 references·9 citing·29 second hop
Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting (2014)Time-Consistent Portfolio Selection under…Time-Inconsistent Stochastic Linear--Quadratic Control (2012)Time-Inconsistent Stochastic …Time-Consistent Portfolio Management (2012)Time-Consistent Portfolio Man…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…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…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Labor income, borrowing constraints, and equilibrium asset prices (1993)Labor income, borrowing const…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …On the Existence of a Consistent Course of Action when Tastes are Changing (1973)On the Existence of a Consist…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Consistent Planning (1968)Consistent PlanningMyopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…Preference heterogeneity and its equilibrium path (2021)Preference heterogeneity and …Dynamic asset-liability management problem in a continuous-time model with delay (2020)Dynamic asset-liability manag…On time-inconsistent stopping problems and mixed strategy stopping times (2019)On time-inconsistent stopping…Time-consistent mean–variance portfolio optimization: A numerical impulse control approach (2018)Time-consistent mean–variance…Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints (2018)Linear-Quadratic-Gaussian Mix…Time-consistent investment strategy under partial information (2015)Time-consistent investment st…Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk (2015)Equilibrium investment strate…Time-consistent mean–variance hedging of longevity risk: Effect of cointegration (2014)Time-consistent mean–variance…Optimal dividend strategies with time-inconsistent preferences (2014)Optimal dividend strategies w…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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Who Should Buy Long-Term Bonds? (2001)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)A Guided Tour through Quadratic Hedging Approaches (2010)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)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)A Maximum Principle for SDEs of Mean-Field Type (2010)An Intertemporal Capital Asset Pricing Model (1973)An equilibrium characterization of the term structure (1977)The Framing of Decisions and the Psychology of Choice (1981)Golden Eggs and Hyperbolic Discounting (1997)Time Discounting and Time Preference: A Critical Review (2002)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)Is Everything Neutral? (1986)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Toward a positive theory of consumer choice (1980)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 1968Consistent Planning384 cited
  • 1973On the Existence of a Consistent Course of Action when Tastes are Changing359 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
  • 2008Investment and consumption without commitment285 cited
  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 1993Labor income, borrowing constraints, and equilibrium asset prices159 cited

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2012
Time-Consistent Portfolio Management
138 cited

Cited by

  • 2014Optimal dividend strategies with time-inconsistent preferences67 cited
  • 2018Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints57 cited
  • 2015Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk53 cited
  • 2019On time-inconsistent stopping problems and mixed strategy stopping times46 cited
  • 2018Time-consistent mean–variance portfolio optimization: A numerical impulse control approach36 cited
  • 2014Time-consistent mean–variance hedging of longevity risk: Effect of cointegration35 cited
  • 2020Dynamic asset-liability management problem in a continuous-time model with delay33 cited
  • 2015Time-consistent investment strategy under partial information30 cited
  • 2021Preference heterogeneity and its equilibrium path1 cited