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Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
11 references·1 citing·34 second hop
Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem (2013)Time-Consistent Strategies for a Multiper…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent inves…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…Continuous time mean variance asset allocation: A time-consistent strategy (2010)Continuous time mean variance…Being serious about non-commitment: subgame perfect equilibrium in continuous time (2006)Being serious about non-commi…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…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…On Second-Best National Saving and Game-Equilibrium Growth (1968)On Second-Best National Savin…Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (2016)Pre-commitment vs. time-consi…Golden Eggs and Hyperbolic Discounting (1997)Doing It Now or Later (1999)Time Discounting and Time Preference: A Critical Review (2002)Investment and consumption without commitment (2008)A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)PORTFOLIO SELECTION* (1952)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)A theory of Markovian time-inconsistent stochastic control in discrete time (2014)On time-inconsistent stochastic control in continuous time (2017)A Mathematical Theory of Saving (1928)Non-cooperative games (1989)A Review of the Stern Review on the Economics of Climate Change (2007)The Economics and Psychology of Personality Traits (2008)Games and Decisions (2015)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)Portfolio Selection (1952)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Optimum consumption and portfolio rules in a continuous-time model (1971)Dynamic mean–variance portfolio selection with borrowing constraint (2009)Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps (2013)Fuzzy multi-period portfolio selection with different investment horizons (2016)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)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 Economic Theory of Self-Control (1981)The Framing of Decisions and the Psychology of Choice (1981)
this work references cited by second hop

References

  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1968On Second-Best National Saving and Game-Equilibrium Growth1,450 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 1973On the Existence of a Consistent Course of Action when Tastes are Changing359 cited
  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers216 cited
  • 2006Being serious about non-commitment: subgame perfect equilibrium in continuous time144 cited
  • 2010Continuous time mean variance asset allocation: A time-consistent strategy119 cited
  • 2010Some Solvable Portfolio Problems with Quadratic and Collective Objectives60 cited

Cited by

  • 2016Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows20 cited

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