Equilibrium strategies for the mean-variance investment problem over a random horizon
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Cites work
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- Risk Aversion in the Small and in the Large
Cited in
(35)- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
- Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
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- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
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