Time Consistent Stopping for the Mean-Standard Deviation Problem---The Discrete Time Case

DOI10.1137/18M1216432;zbMath1427.91251arXiv1802.08358MaRDI QIDQ4971977

Erhan Bayraktar, Zhou Zhou, Jingjie Zhang

Publication date: 22 November 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.08358

zbMATH Keywords

optimal stoppingtime inconsistencysubgame perfect Nash equilibriummean-variance problemliquidation strategy

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) Games of timing (91A55)

Related Items (10)

A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Stability of Equilibria in Time-Inconsistent Stopping Problems ⋮ Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth ⋮ Equilibrium concepts for time‐inconsistent stopping problems in continuous time ⋮ Optimal Stopping for Exponential Lévy Models with Weighted Discounting ⋮ Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time ⋮ A regular equilibrium solves the extended HJB system ⋮ On time-inconsistent stopping problems and mixed strategy stopping times ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application ⋮ Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions

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