Time-Inconsistent Stochastic Linear--Quadratic Control

Author:

Hu Ying,Jin Hanqing,Zhou Xun Yu

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Reference16 articles.

1. CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

2. Dynamic Mean-Variance Asset Allocation

3. BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

4. 6. T. Björk, A. Murgoci, and X. Y. Zhou, Mean-variance portfolio optimization with state dependent risk aversion, Math. Finance, to appear. Published online Feb. 3, 2012 DOI:10.111/j.1467-9965.2011.005.15.x.6. T. Björk, A. Murgoci, and X. Y. Zhou,Mean-variance portfolio optimization with state dependent risk aversion, Math. Finance, to appear. Published online Feb. 3, 2012 DOI:10.111/j.1467-9965.2011.005.15.x.10.111/j.1467-9965.2011.005.15.x

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