Time-consistent investment strategy under partial information

DOI10.1016/j.insmatheco.2015.08.011zbMath1348.91257OpenAlexW1839366253MaRDI QIDQ896762

Ling Zhang, Yongwu Li, Han Qiao, Shou-Yang Wang

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.011

zbMATH Keywords

time inconsistencypartial informationmean-varianceequilibrium strategyextended HJB system of equations

Mathematics Subject Classification ID

Related Items (14)

Optimal hedging with basis risk under mean-variance criterion ⋮ Time-consistent mean-variance portfolio optimization: a numerical impulse control approach ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Equilibrium investment strategy for a DC pension plan with learning about stock return predictability ⋮ Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate ⋮ The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors ⋮ Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ A regular equilibrium solves the extended HJB system ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence ⋮ Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay

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