Time-consistent investment strategy under partial information
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Publication:896762
DOI10.1016/J.INSMATHECO.2015.08.011zbMath1348.91257OpenAlexW1839366253MaRDI QIDQ896762
Ling Zhang, Yongwu Li, Han Qiao, Shou-Yang Wang
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.011
time inconsistencypartial informationmean-varianceequilibrium strategyextended HJB system of equations
Applications of game theory (91A80) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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