Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
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Publication:6054361
DOI10.1111/mafi.12299zbMath1530.91510OpenAlexW3128002931MaRDI QIDQ6054361
David Landriault, Bin Li, Lv Chen, Danping Li
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12299
ambiguityinvestmentPareto optimaltime-consistent equilibrium strategydynamic mean-variance criteriondynamic risk sharing
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