Time-consistent portfolio optimization
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Publication:2028852
Recommendations
- Time-consistent portfolio management
- Consumption, investment and life insurance strategies with heterogeneous discounting
- Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
- Consumption and portfolio rules for time-inconsistent investors
- Investment and consumption without commitment
Cites work
- A consumption-investment problem with heterogeneous discounting
- A generalized classification scheme for crane scheduling with interference
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Capturing preferences for inequality aversion in decision support
- Consumption and portfolio rules for time-inconsistent investors
- Consumption, investment and life insurance strategies with heterogeneous discounting
- Estimating the term structure of commodity market preferences
- Hedge fund's dynamic leverage decisions under time-inconsistent preferences
- Heterogeneous discounting in economic problems
- scientific article; zbMATH DE number 939851 (Why is no real title available?)
- Incentives for environmental research and development: consumer preferences, competitive pressure and emissions taxation
- Instantaneous Gratification *
- Investment and consumption without commitment
- Modeling project preferences in multiattribute portfolio decision analysis
- Non-constant discounting in continuous time
- Non-constant discounting in finite horizon: the free terminal time case
- On generating utility functions in stochastic multicriteria acceptability analysis
- On preference elicitation processes which mitigate the accumulation of biases in multi-criteria decision analysis
- Optimal Annuitization Policies
- Optimal guidance law in quantum mechanics
- Preference disaggregation for multiple criteria sorting with partial monotonicity constraints: application to exposure management of nanomaterials
- Preference disaggregation within the regularization framework for sorting problems with multiple potentially non-monotonic criteria
- Stochastic calculus for finance. II: Continuous-time models.
- Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients
- The golden rule when preferences are time inconsistent
- Time-consistent portfolio management
- Time-inconsistent multistage stochastic programs: martingale bounds
- Two-level decomposition-based matheuristic for airline crew rostering problems with fair working time
Cited in
(10)- Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
- Timing portfolio strategies with exponential Lévy processes
- A solution method for heterogeneity involving present bias
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions
- Anticipative portfolio optimization
- scientific article; zbMATH DE number 2013274 (Why is no real title available?)
- Diversified Portfolios in Continuous Time *
- Time-consistent portfolio management
- Preference heterogeneity and its equilibrium path
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