Time-consistent portfolio optimization (Q2028852)

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Language	Label	Description	Also known as
English	Time-consistent portfolio optimization	scientific article

Statements

scholarly article

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Time-consistent portfolio optimization (English)

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Peter E. Kloeden

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European Journal of Operational Research

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publication date

3 June 2021

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zbMATH Keywords

heterogeneous quasi-hyperbolic preferences

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life insurance

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time-consistency

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2020.05.061

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

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A generalized classification scheme for crane scheduling with interference

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Estimating the term structure of commodity market preferences

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A consumption-investment problem with heterogeneous discounting

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Consumption, investment and life insurance strategies with heterogeneous discounting

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On generating utility functions in stochastic multicriteria acceptability analysis

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Two-level decomposition-based matheuristic for airline crew rostering problems with fair working time

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The golden rule when preferences are time inconsistent

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Time-Consistent Portfolio Management

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Investment and consumption without commitment

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Instantaneous Gratification *

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Preference disaggregation for multiple criteria sorting with partial monotonicity constraints: application to exposure management of nanomaterials

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Non-constant discounting in continuous time

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Capturing preferences for inequality aversion in decision support

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On preference elicitation processes which mitigate the accumulation of biases in multi-criteria decision analysis

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Hedge fund's dynamic leverage decisions under time-inconsistent preferences

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Preference disaggregation within the regularization framework for sorting problems with multiple potentially non-monotonic criteria

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Non-constant discounting in finite horizon: the free terminal time case

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Consumption and portfolio rules for time-inconsistent investors

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Heterogeneous discounting in economic problems

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Optimal Annuitization Policies

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Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients

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Time-inconsistent multistage stochastic programs: martingale bounds

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Stochastic calculus for finance. II: Continuous-time models.

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Modeling project preferences in multiattribute portfolio decision analysis

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Optimal guidance law in quantum mechanics

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Incentives for environmental research and development: consumer preferences, competitive pressure and emissions taxation

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Identifiers

zbMATH Open document ID

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10.1016/j.ejor.2020.05.061

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2028852

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