Robust state-dependent mean-variance portfolio selection: a closed-loop approach
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Publication:2049552
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 3061365 (Why is no real title available?)
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Cited in
(7)- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Mean-variance portfolio selection with non-negative state-dependent risk aversion
- Robust classical-impulse stochastic control problems in an infinite horizon
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
- Robust retirement and life insurance with inflation risk and model ambiguity
- Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
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