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A paradox in time-consistency in the mean–variance problem?
16 references·1 citing·34 second hop
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this work references cited by second hop

References

  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 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
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 1968Consistent Planning384 cited
  • 1973On the Existence of a Consistent Course of Action when Tastes are Changing359 cited
  • 2008Investment and consumption without commitment285 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2012Instantaneous Gratification *198 cited
  • 2012Time-Consistent Portfolio Management138 cited
  • 2005Non-constant discounting in continuous time126 cited
  • 2010Continuous time mean variance asset allocation: A time-consistent strategy119 cited
  • 2012Time-consistent mean-variance portfolio selection in discrete and continuous time118 cited
  • 2009

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Consumption and portfolio rules for time-inconsistent investors
104 cited

Cited by

  • 2021On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies22 cited