Equilibrium strategies for the mean-variance investment problem over a random horizon
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Publication:4553802
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Cites work
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- Optimal investment decisions when time-horizon is uncertain
- Optimum consumption and portfolio rules in a continuous-time model
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Risk Aversion in the Small and in the Large
Cited in
(24)- Equilibrium investment with random risk aversion
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Bowley solution of a mean-variance game in insurance
- Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
- Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
- Stackelberg differential game for insurance under model ambiguity
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Dynamic asset-liability management problem in a continuous-time model with delay
- Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
- Stackelberg differential game for reinsurance: mean-variance framework and random horizon
- Time-inconsistent contract theory
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- 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
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
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