Time-consistent investment strategy under partial information
From MaRDI portal
Publication:896762
DOI10.1016/j.insmatheco.2015.08.011zbMath1348.91257MaRDI QIDQ896762
Ling Zhang, Yongwu Li, Han Qiao, Shou-Yang Wang
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.011
time inconsistency; partial information; mean-variance; equilibrium strategy; extended HJB system of equations
91A80: Applications of game theory
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
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