Mean-variance portfolio optimization with state-dependent risk aversion
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Cites work
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- Consistent Plans
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- Continuous-time Markowitz's model with transaction costs
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- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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- MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
- Multiple solutions under quasi-exponential discounting
- On the Existence of a Consistent Course of Action when Tastes are Changing
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
Cited in
(only showing first 100 items - show all)- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- Alpha-robust mean-variance reinsurance-investment strategy
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
- Discrete-time behavioral portfolio selection under cumulative prospect theory
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Time-consistent mean-variance asset-liability management with random coefficients
- Time-consistent stopping under decreasing impatience
- On dynamic deviation measures and continuous-time portfolio optimization
- Dynamic approaches for some time-inconsistent optimization problems
- Decomposing risk in an exploitation-exploration problem with endogenous termination time
- A paradox in time-consistency in the mean-variance problem?
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- An HJB approach to a general continuous-time mean-variance stochastic control problem
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Robust time-inconsistent stochastic control problems
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Optimal stopping under probability distortion
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Optimal dividend strategies with time-inconsistent preferences
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- A non-zero-sum reinsurance-investment game with delay and asymmetric information
- A class of stochastic Fredholm-algebraic equations and applications in finance
- Time-consistent longevity hedging with long-range dependence
- Small-time solvability of a flow of forward-backward stochastic differential equations
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Portfolio liquidation under factor uncertainty
- A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria
- A varying terminal time mean-variance model
- Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
- Time inconsistent asset-liability management with partial information
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- Consumption and portfolio decisions with uncertain lifetimes
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Nonrecursive separation of risk and time preferences
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization
- Mean-variance dynamic optimality for DC pension schemes
- Weighted discounting -- on group diversity, time-inconsistency, and consequences for investment
- Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
- A continuous-time theory of reinsurance chains
- Optimal portfolio selection of mean-variance utility with stochastic interest rate
- Optimal pairs trading with dynamic mean-variance objective
- Partially observed time-inconsistency recursive optimization problem and application
- Portfolio selection: a review
- Mean-variance portfolio selection with correlation risk
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- A regular equilibrium solves the extended HJB system
- On time-inconsistent stopping problems and mixed strategy stopping times
- Time-inconsistent recursive zero-sum stochastic differential games
- Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts
- Portfolio selection with regime-switching and state-dependent preferences
- Robust optimal consumption-investment strategy with non-exponential discounting
- Personal finance and life insurance under separation of risk aversion and elasticity of substitution
- Nash equilibrium strategies for a defined contribution pension management
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- Inconsistent investment and consumption problems
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
- Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Optimal mean-variance efficiency of a family with life insurance under inflation risk
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Smooth investment
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Time-inconsistent optimal control problems with regime-switching
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- On dividend strategies with non-exponential discounting
- Linear-quadratic time-inconsistent mean field games
- Time consistent policy of multi-period mean-variance
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Conditional optimal stopping: a time-inconsistent optimization
- A note on monotone mean-variance preferences for continuous processes
- Risk-sensitive control of Markov decision processes: a moment-based approach with target distributions
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