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A General Theory of Markovian Time Inconsistent Stochastic Control Problems
5 references·16 citing·31 second hop
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References

  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2001Dynamic Choices of Hyperbolic Consumers516 cited
  • 2003Consumption-Savings Decisions with Quasi-Geometric Discounting371 cited

Cited by

  • 2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations333 cited
  • 2010A Maximum Principle for SDEs of Mean-Field Type330 cited
  • 2017On time-inconsistent stochastic control in continuous time325 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers216 cited
  • 2023Recent advances in reinforcement learning in finance211 cited
  • 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model154 cited
  • 2015Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps151 cited
  • 2012Time-inconsistent optimal control problems and the equilibrium HJB equation145 cited
  • 2017

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Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature
130 cited
  • 2012Time-consistent mean-variance portfolio selection in discrete and continuous time118 cited
  • 2011Markov Decision Processes with Average-Value-at-Risk criteria108 cited
  • 2013Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps102 cited
  • 2019Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework100 cited
  • 2016Optimal mean-variance portfolio selection82 cited
  • 2013Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework80 cited