Mean-variance portfolio selection with non-negative state-dependent risk aversion
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Cites work
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- Advances in prospect theory: cumulative representation of uncertainty
- Asset and liability management under a continuous-time mean-variance optimization framework
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Forward-backward stochastic differential equations and their applications
- Investment and consumption without commitment
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Mean-variance portfolio optimization with state-dependent risk aversion
- Modeling non-monotone risk aversion using SAHARA utility functions
- On time-inconsistent stochastic control in continuous time
- On well-posedness of forward-backward SDEs -- a unified approach
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment and consumption when allowing terminal debt
- Portfolio choice under dynamic investment performance criteria
- Portfolio choice under space-time monotone performance criteria
- Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
- Solution of forward-backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Time-consistent mean-variance asset-liability management with random coefficients
- Time-consistent portfolio management
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Time-inconsistent stochastic linear-quadratic control
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
Cited in
(10)- Necessary and sufficient conditions for open-loop equilibrium portfolio for a DC pension plan with piecewise linear state-dependent risk tolerance
- Pairs trading under delayed cointegration
- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- Optimal attention allocation: picking alpha or betting on beta?
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Mean-variance portfolio optimization with state-dependent risk aversion
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- Constrained equilibrium investment and risk control strategies under a non-Markovian regime-switching model
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