Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
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Publication:2190010
DOI10.1016/j.jmaa.2020.124199zbMath1443.91270arXiv1802.01078OpenAlexW3020913714MaRDI QIDQ2190010
Publication date: 17 June 2020
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.01078
Riccati equationstime inconsistencydynamic mean-variance portfolio selection problemsuniqueness of open-loop equilibrium investment strategy
Related Items (3)
Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps ⋮ Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution ⋮ Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
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