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