Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems (Q784782): Difference between revisions

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English	Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems	scientific article

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scholarly article

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title

Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems (English)

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Mathematical Methods of Operations Research

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publication date

3 August 2020

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zbMATH Keywords

time-inconsistency

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quadratic portfolio problems

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optimal control

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equilibrium control laws

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s00186-019-00687-5

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cites work

Multiperiod mean-standard-deviation time consistent portfolio selection

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Q3613976

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Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting

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A theory of Markovian time-inconsistent stochastic control in discrete time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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On time-inconsistent stochastic control in continuous time

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Time-consistent mean-variance portfolio selection in discrete and continuous time

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Time-Consistent Portfolio Management

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Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium

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OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH

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Inconsistent investment and consumption problems

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Optimal consumption and investment under time-varying relative risk aversion

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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model

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Continuous time mean variance asset allocation: a time-consistent strategy

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Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach

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Time-consistent strategies for a multiperiod mean-variance portfolio selection problem

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Nash equilibrium strategies for a defined contribution pension management

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion

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Identifiers

zbMATH Open document ID

1447.49057

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Mathematics Subject Classification ID

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10.1007/S00186-019-00687-5

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Sitelinks

Mathematics(1 entry)

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+Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
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+A theory of Markovian time-inconsistent stochastic control in discrete time
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@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
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+Time-consistent mean-variance portfolio selection in discrete and continuous time
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@@ Property / cites work @@
+Time-Consistent Portfolio Management
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+Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
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+OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
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@@ Property / cites work @@
+Inconsistent investment and consumption problems
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@@ Property / cites work @@
+Optimal consumption and investment under time-varying relative risk aversion
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@@ Property / cites work @@
+Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Continuous time mean variance asset allocation: a time-consistent strategy
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
+Normal rank
@@ Property / cites work @@
+Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
+Normal rank
@@ Property / cites work @@
+Nash equilibrium strategies for a defined contribution pension management
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
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@@ Property / DOI @@
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