Time consistent utility maximization
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Recommendations
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Optimal investment policy in the time consistent mean-variance formulation
- Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
- On time consistency for mean-variance portfolio selection
- Horizon dependence of utility optimizers in incomplete models
Cited in
(12)- Discount-neutral utility models for denumerable time streams
- Time-consistency of optimal investment under smooth ambiguity
- Horizon-unbiased utility functions
- scientific article; zbMATH DE number 1642350 (Why is no real title available?)
- scientific article; zbMATH DE number 5953515 (Why is no real title available?)
- scientific article; zbMATH DE number 67283 (Why is no real title available?)
- Duesenberry equilibrium and heterogenous agents
- Additive valuations of streams of payoffs that satisfy the time value of money principle: A characterization and robust optimization
- Consistent investment of sophisticated rank‐dependent utility agents in continuous time
- Equilibrium investment with random risk aversion
- Optimal investment for all time horizons and Martin boundary of space-time diffusions
- Horizon dependence of utility optimizers in incomplete models
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