A paradox in time-consistency in the mean-variance problem?

DOI10.1007/s00780-018-00381-0zbMath1426.91240OpenAlexW2903736201MaRDI QIDQ1711723

Alain Bensoussan, Sheung Chi Phillip Yam, Kwok Chuen Wong

Publication date: 18 January 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-018-00381-0

zbMATH Keywords

mean-variancetime-consistencyequilibrium strategyshort-selling prohibitionstate-dependent risk-aversion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (13)

Dynamic mean-variance problem with frictions ⋮ Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation ⋮ Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems ⋮ Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ Mean-variance dynamic optimality for DC pension schemes ⋮ ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach

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