A theory of Markovian time-inconsistent stochastic control in discrete time

Author:

Björk Tomas,Murgoci Agatha

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference17 articles.

1. Barro, R.: Ramsey meets Laibson in the neoclassical growth model. Q. J. Econ. 114, 1125–1152 (1999)

2. Basak, S., Chabakauri, G.: Dynamic mean–variance asset allocation. Rev. Financ. Stud. 23, 2970–3016 (2010)

3. Björk, T., Murgoci, A.: A general theory of Markovian time-inconsistent stochastic control problems. Working paper (2009). http://www.hhs.se/se/Search/Person/Pages/Person.aspx?PersonID=37

4. Björk, T., Murgoci, A.: A theory of Markovian time-inconsistent stochastic control in continuous time. Submitted, Stockholm School of Economics (2010). http://hhs.se/DF/People/Pages/Person.aspx?PersonID=37

5. Björk, T., Murgoci, A., Zhou, X.-Y.: Mean–variance portfolio optimization with state dependent risk aversion. Math. Finance 24, 1–24 (2014)

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