The self-coordination mean-variance strategy in continuous time

DOI10.1051/ro/2023166OpenAlexW4387568272MaRDI QIDQ6181249

Li, Duan, Xiangyu Cui, Unnamed Author

Publication date: 22 January 2024

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2023166

zbMATH Keywords

time inconsistencymean-variance modelself-coordination strategycontinuous time setting

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• Continuous time mean variance asset allocation: a time-consistent strategy
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
• Coherent multiperiod risk adjusted values and Bellman's principle
• Time consistent dynamic risk measures
• Timing and Self-Control
• Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
• Temptation and Self-Control
• BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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