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Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility
16 references·2 citing·31 second hop
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References

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  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
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  • 2017On time-inconsistent stochastic control in continuous time325 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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293 cited
  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • Cited by

    • 2022Optimal investment and reinsurance strategies under 4/2 stochastic volatility model30 cited
    • 2021Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process21 cited