SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Investment and consumption without commitment
11 references·16 citing·33 second hop
Investment and consumption without commitment (2008)Investment and consumption without commit…Consumption-Savings Decisions with Quasi-Geometric Discounting (2003)Consumption-Savings Decisions…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Golden Eggs and Hyperbolic Discounting (1997)Golden Eggs and Hyperbolic Di…Anomalies in Intertemporal Choice: Evidence and an Interpretation (1992)Anomalies in Intertemporal Ch…A General Stochastic Maximum Principle for Optimal Control Problems (1990)A General Stochastic Maximum …Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…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 under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …A Dynamic Mean-Variance Analysis for Log Returns (2018)A Dynamic Mean-Variance Analy…Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium (2017)Time-Inconsistent Stochastic …Time-Inconsistent Recursive Stochastic Optimal Control Problems (2017)Time-Inconsistent Recursive S…Optimal mean-variance portfolio selection (2016)Optimal mean-variance portfol…Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions (2015)Linear-quadratic optimal cont…Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting (2014)Time-Consistent Portfolio Sel…A theory of Markovian time-inconsistent stochastic control in discrete time (2014)A theory of Markovian time-in…Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps (2013)Time-consistent investment an…Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013)Optimal time-consistent inves…Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach (2013)Markowitz’s mean–variance ass…Time-Inconsistent Stochastic Linear--Quadratic Control (2012)Time-Inconsistent Stochastic …Time-inconsistent optimal control problems and the equilibrium HJB equation (2012)Time-inconsistent optimal con…Time-Consistent Portfolio Management (2012)Time-Consistent Portfolio Man…Time-consistent mean-variance portfolio selection in discrete and continuous time (2012)Time-consistent mean-variance…A deterministic linear quadratic time-inconsistent optimal control problem (2011)A deterministic linear quadra…Consumption and portfolio rules for time-inconsistent investors (2009)Consumption and portfolio rul…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Construal-level theory of psychological distance. (2010)Specious reward: A behavioral theory of impulsiveness and impulse control. (1975)Implications of rational inattention (2003)Does Culture Affect Economic Outcomes? (2006)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)The Framing of Decisions and the Psychology of Choice (1981)Time Discounting and Time Preference: A Critical Review (2002)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
this work references cited by second hop

References

  • 1997Golden Eggs and Hyperbolic Discounting6,117 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1992Anomalies in Intertemporal Choice: Evidence and an Interpretation2,305 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1999Stochastic Controls1,243 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 2003Consumption-Savings Decisions with Quasi-Geometric Discounting371 cited

Cited by

  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2017Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium147 cited
  • 2012

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Time-inconsistent optimal control problems and the equilibrium HJB equation
145 cited
  • 2012Time-Consistent Portfolio Management138 cited
  • 2015Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions122 cited
  • 2012Time-consistent mean-variance portfolio selection in discrete and continuous time118 cited
  • 2009Consumption and portfolio rules for time-inconsistent investors104 cited
  • 2013Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps102 cited
  • 2018A Dynamic Mean-Variance Analysis for Log Returns88 cited
  • 2016Optimal mean-variance portfolio selection82 cited
  • 2013Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach73 cited
  • 2017Time-Inconsistent Recursive Stochastic Optimal Control Problems72 cited
  • 2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion70 cited
  • 2014Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting68 cited
  • 2011A deterministic linear quadratic time-inconsistent optimal control problem68 cited