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A paradox in time-consistency in the mean–variance problem? · Study

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ArticleA paradox in time-consistency in the mean–variance problem?

Alain Bensoussan2018

Article2018

A paradox in time-consistency in the mean–variance problem?

Alain Bensoussan · Kwok Chuen Wong · Sheung Chi Phillip Yam

23 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 1968On Second-Best National Saving and Game-Equilibrium Growth 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2010Dynamic Mean-Variance Asset Allocation 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION 1968Consistent Planning 1973On the Existence of a Consistent Course of Action when Tastes are Changing

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2021On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies

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Year2018

Typearticle

Published2018-12-19

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-018-00381-0

openalex_workW2903736201

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