Time-Inconsistent Portfolio Investment Problems

DOI10.1007/978-3-319-11292-3_9zbMath1390.91280OpenAlexW3124639089MaRDI QIDQ5374163

Yidong Dong, Ronnie Sircar

Publication date: 9 April 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11292-3_9

zbMATH Keywords

stochastic controlasymptotic methodsportfolio optimizationtime-inconsistencystochastic risk aversion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)

Related Items (12)

Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach ⋮ Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting ⋮ Singular dividend optimization for a linear diffusion model with time-inconsistent preferences ⋮ Perturbation Analysis for Investment Portfolios Under Partial Information with Expert Opinions ⋮ Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ Time-consistent stopping under decreasing impatience ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient ⋮ A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion ⋮ A class of stochastic Fredholm-algebraic equations and applications in finance ⋮ Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion ⋮ On the construction of optimal payoffs

Cites Work

• Unnamed Item
• Unnamed Item
• A theory of Markovian time-inconsistent stochastic control in discrete time
• Continuous-time stochastic control and optimization with financial applications
• Optimal investment and consumption with transaction costs
• Alternative models for stock price dynamics.
• The golden rule when preferences are time inconsistent
• Time-Inconsistent Stochastic Linear--Quadratic Control
• Risk Aversion for State-Dependent Utility Functions: Measurement and Applications
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Hedging Under an Expected Loss Constraint with Small Transaction Costs
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Dynamic Choices of Hyperbolic Consumers
• Time-Consistent Portfolio Management
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• Stationary Ordinal Utility and Impatience
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Portfolio Selection with Transaction Costs

This page was built for publication: Time-Inconsistent Portfolio Investment Problems