Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
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Cites work
- scientific article; zbMATH DE number 5354344 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Backward Stochastic Differential Equations in Finance
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- Mean-variance portfolio optimization with state-dependent risk aversion
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- Mean-variance portfolio selection under a constant elasticity of variance model
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- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- On time-inconsistent stochastic control in continuous time
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- Quadratic BSDEs with convex generators and unbounded terminal conditions
- Robust time-inconsistent stochastic control problems
- Stochastic evolution equations for large portfolios of stochastic volatility models
- Time-inconsistent stochastic linear-quadratic control
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
Cited in
(30)- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Dynamic trading with Markov liquidity switching
- Pairs trading under delayed cointegration
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Dynamic asset-liability management with frictions
- A varying terminal time mean-variance model
- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Time-inconsistency with rough volatility
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Mean-variance portfolio selection with non-negative state-dependent risk aversion
- Strategic trading with information acquisition and long-memory stochastic liquidity
- Multi-time state mean-variance model in continuous time
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Learning equilibrium mean‐variance strategy
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- Equilibrium pairs trading under delayed cointegration
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.
- Time-consistent longevity hedging with long-range dependence
- Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
- Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
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