Time-consistent investment strategy under partial information
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- scientific article; zbMATH DE number 1867093
Cites work
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- Optimal trading strategy for an investor: the case of partial information
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Cited in
(24)- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Mean‐Variance Portfolio Selection under Partial Information
- Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
- Investment Timing Under Incomplete Information: Erratum
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Optimal hedging with basis risk under mean-variance criterion
- The Relaxed Investor with Partial Information
- Continuous-time mean-variance optimization for defined contribution pension funds with regime-switching
- A regular equilibrium solves the extended HJB system
- Optimal investment problem with delay under partial information
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Time inconsistent asset-liability management with partial information
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- scientific article; zbMATH DE number 7028767 (Why is no real title available?)
- Information acquisition and asset allocation with unknown income growth
- A hybrid reinsurance-investment game with delay and asymmetric information
- Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Comment on “Investment Timing Under Incomplete Information”
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
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