Time-consistent investment strategy under partial information
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Publication:896762
DOI10.1016/J.INSMATHECO.2015.08.011zbMATH Open1348.91257OpenAlexW1839366253MaRDI QIDQ896762FDOQ896762
Authors: Yongwu Li, Han Qiao, Ling Zhang, Shouyang 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
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- scientific article; zbMATH DE number 1867093
mean-variancepartial informationequilibrium strategytime inconsistencyextended HJB system of equations
Applications of game theory (91A80) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
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Cited In (24)
- A regular equilibrium solves the extended HJB system
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- The Relaxed Investor with Partial Information
- Title not available (Why is that?)
- Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
- Investment Timing Under Incomplete Information: Erratum
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Optimal hedging with basis risk under mean-variance criterion
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Optimal investment problem with delay under partial information
- Information acquisition and asset allocation with unknown income growth
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Time inconsistent asset-liability management with partial information
- Comment on “Investment Timing Under Incomplete Information”
- Mean‐Variance Portfolio Selection under Partial Information
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A hybrid reinsurance-investment game with delay and asymmetric information
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