Time-Consistent Portfolio Management
From MaRDI portal
Publication:4902203
DOI10.1137/100810034zbMath1257.91040arXiv1008.3407OpenAlexW1504052917MaRDI QIDQ4902203
Oumar Mbodji, Ivar Ekeland, Traian A. Pirvu
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.3407
Stochastic models in economics (91B70) Utility theory (91B16) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integral equations (60H20) Portfolio theory (91G10)
Related Items
Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan, A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria, Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market, Time Inconsistency, Precommitment, and Equilibrium Strategies for a Stackelberg Game, Equilibrium dividend strategy with non-exponential discounting in a dual model, Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences, Non-exponential discounting portfolio management with habit formation, Consumption-investment strategies with non-exponential discounting and logarithmic utility, Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation, Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting, Annuity and insurance choice under habit formation, On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems, Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems, Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions, Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model, Consumption-leisure-investment strategies with time-inconsistent preference in a life-cycle model, Conditional optimal stopping: a time-inconsistent optimization, Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model, Goal-based portfolio choice model with discounted preference, Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods, Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon, Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps, Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions, Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions, Consumption and portfolio decisions with uncertain lifetimes, Time-inconsistent view on a dividend problem with penalty, Time-consistent lifetime portfolio selection under smooth ambiguity, Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences, Time-consistent stopping under decreasing impatience, Time-consistent investment strategy under partial information, Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems, PORTFOLIO CHOICE WITH TIME HORIZON RISK, Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs, Equilibrium investment with random risk aversion, Nonlocality, nonlinearity, and time inconsistency in stochastic differential games, Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting, Equilibrium dividend strategies in the dual model with a random time horizon, Nonrecursive separation of risk and time preferences, Non-constant discounting and consumption, portfolio and life insurance rules, A Stochastic production planning problem, Time-Inconsistent Portfolio Investment Problems, A paradox in time-consistency in the mean-variance problem?, Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time, Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps, Optimal investment, consumption and life insurance under mean-reverting returns: the complete market solution, Investment-consumption with regime-switching discount rates, Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion, A solution method for heterogeneity involving present bias, The Optimal Equilibrium for Time-Inconsistent Stopping Problems---The Discrete-Time Case, Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting, Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient, Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty, Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework, Equilibrium controls in time inconsistent stochastic linear quadratic problems, On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time, Optimal dividend strategies with time-inconsistent preferences, On time-inconsistent stochastic control in continuous time, Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency, A zero-sum game between a singular stochastic controller and a discretionary stopper, Consumption, investment and life insurance strategies with heterogeneous discounting, Comparison theorems for some backward stochastic Volterra integral equations, Optimal investment strategy under time-inconsistent preferences and high-water mark contract, Time-consistent portfolio optimization, A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion, On dividend strategies with non-exponential discounting, Linear-quadratic time-inconsistent mean field games, Exponential utility maximization for an insurer with time-inconsistent preferences, Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations, Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems, Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions, Optimal Equilibria for Multidimensional Time-Inconsistent Stopping Problems, Robust time-consistent portfolio selection for an investor under CEV model with inflation influence, Controlled Markov chains with non-exponential discounting and distribution-dependent costs, Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I, Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems, Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time, Portfolio selection with regime-switching and state-dependent preferences, Optimal sharing rule for a household with a portfolio management problem, Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem, Robust optimal consumption-investment strategy with non-exponential discounting, Mean-variance portfolio selection with non-negative state-dependent risk aversion, Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
