Equilibrium strategies for the mean-variance investment problem over a random horizon
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Publication:4553802
DOI10.1137/17M1153479zbMATH Open1416.91354WikidataQ129326292 ScholiaQ129326292MaRDI QIDQ4553802FDOQ4553802
Authors: David Landriault, Bin Li, Danping Li, Virginia R. Young 
Publication date: 31 October 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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Cited In (21)
- 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
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Bowley solution of a mean-variance game in insurance
- Dynamic asset-liability management problem in a continuous-time model with delay
- Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
- Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
- PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION
- Stackelberg differential game for insurance under model ambiguity
- Time-inconsistent contract theory
- Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Stackelberg differential game for reinsurance: mean-variance framework and random horizon
- Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
- On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
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