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A regular equilibrium solves the extended HJB system
16 references·1 citing·30 second hop
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References

  • 1975Reexamination of the perfectness concept for equilibrium points in extensive games3,342 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
  • 1990Asset Prices under Habit Formation and Catching up with the Joneses2,021 cited
  • 1989Brownian Motion and Stochastic Calculus.921 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2003Consumption-Savings Decisions with Quasi-Geometric Discounting371 cited
  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
  • 2017On time-inconsistent stochastic control in continuous time325 cited
  • 2008Investment and consumption without commitment285 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 1976Habit formation and long-run utility functions177 cited

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2015
Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps
151 cited

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  • 2023Equilibrium investment with random risk aversion19 cited