Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium-Reference-Cited by-同舟云学术

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Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium

Published:2017-01 Issue:2 Volume:55 Page:1261-1279
ISSN:0363-0129
Container-title:SIAM Journal on Control and Optimization
language:en
Short-container-title:SIAM J. Control Optim.

Author:

Hu Ying,Jin Hanqing,Zhou Xun Yu

Funder

The Marie-Curie ITN Grant

Nomura Centre for Mathematical Finance

Oxford-Man Institute of Quantitative Finance

University Of Oxford

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Control and Optimization

Link

https://epubs.siam.org/doi/pdf/10.1137/15M1019040

Reference11 articles.

1. Dynamic Mean-Variance Asset Allocation

2. MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION

3. Time-consistent mean-variance portfolio selection in discrete and continuous time

4. The golden rule when preferences are time inconsistent

5. Investment and consumption without commitment

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3. A note on numerical methods for mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model;Numerical Algebra, Control and Optimization;2024

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