Inconsistent investment and consumption problems
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Publication:2355306
DOI10.1007/s00245-014-9267-zzbMath1336.91069OpenAlexW1973400601MaRDI QIDQ2355306
Mogens Steffensen, Morten Tolver Kronborg
Publication date: 22 July 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-014-9267-z
mean-variance controltime-inconsistencyoptimal policyinvestment and consumption problemsmean-standard deviation control
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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Cites Work
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Investment and consumption without commitment
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Some applications of L2-hedging with a non-negative wealth process
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