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Robust Time-Inconsistent Stochastic Control Problems · Study

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ArticleRobust Time-Inconsistent Stochastic Control Problems

Chi Seng Pun2017

OA

Articlebronze2017

Robust Time-Inconsistent Stochastic Control Problems

52 citations·0/0 files stored·Automatica

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Stochastic processes and financial applications Stability and Control of Uncertain Systems Risk and Portfolio Optimization

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References

1952PORTFOLIO SELECTION*1921Risk, Uncertainty and Profit 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1961Risk, Ambiguity, and the Savage Axioms 1971Optimum consumption and portfolio rules in a continuous-time model 1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 1999Stochastic controls : Hamiltonian systems and HJB equations

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2021Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty 2018Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility 2017Time-Consistency of Optimal Investment under Smooth Ambiguity

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2020ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTIONarticle · 10 shared references 2017Time-Consistency of Optimal Investment under Smooth Ambiguityarticle · 10 shared references 2015Time-consistent investment strategy under partial informationarticle · 10 shared references 2018A Dynamic Mean-Variance Analysis for Log Returnsarticle · 9 shared references 2017Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Controlarticle · 9 shared references 2019Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatilityarticle · 9 shared references

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Year2017

Typearticle

Published2017-01-01

VenueAutomatica

ISSN-L0005-1098

Languageen

Citations52

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.automatica.2018.04.038

openalex_workW2802519656

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