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Robust Time-Inconsistent Stochastic Control Problems
16 references·4 citing·31 second hop
Robust Time-Inconsistent Stochastic Control Problems (2017)Robust Time-Inconsistent Stochastic Contr…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…Robust control and model misspecification (2006)Robust control and model miss…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…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…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…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…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Risk, Uncertainty and Profit (1921)Risk, Uncertainty and ProfitRobust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game (2021)Robust reinsurance contract w…Reinsurance–investment game between two mean–variance insurers under model uncertainty (2020)Reinsurance–investment game b…Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility (2018)Open-Loop Equilibrium Strateg…Time-Consistency of Optimal Investment under Smooth Ambiguity (2017)Time-Consistency of Optimal I…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 By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Entrepreneurial discovery and the competitive market process: an Austrian approach (2000)Gender Differences in Preferences (2009)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Golden Eggs and Hyperbolic Discounting (1997)Time Discounting and Time Preference: A Critical Review (2002)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Toward a positive theory of consumer choice (1980)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1921Risk, Uncertainty and Profit9,962 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 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
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1999Stochastic Controls1,243 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited

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2006
Robust control and model misspecification
389 cited

Cited by

  • 2021Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game59 cited
  • 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty40 cited
  • 2018Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility34 cited
  • 2017Time-Consistency of Optimal Investment under Smooth Ambiguity33 cited