Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion-Reference-Cited by-同舟云学术

Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion

Published:2021-02-04 Issue:2 Volume:31 Page:649-682
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Chen Lv¹,Landriault David²,Li Bin²,Li Danping³^ORCID

Affiliation:

1. Academy of Statistics and Interdisciplinary Sciences, Key Laboratory of Advanced Theory and Application in Statistics and Data Science‐MOE, Faculty of Economics and Management East China Normal University Shanghai China

2. Department of Statistics and Actuarial Science University of Waterloo Waterloo Ontario N2L 3G1 Canada

3. School of Statistics, Key Laboratory of Advanced Theory and Application in Statistics and Data Science‐MOE, Faculty of Economics and Management East China Normal University Shanghai China

Funder

Natural Sciences and Engineering Research Council of Canada

National Natural Science Foundation of China

Research Grants Council, University Grants Committee

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12299

Reference24 articles.

1. Optimal risk sharing with different reference probabilities