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~subject:"Time consistency"
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Yam, Sheung Chi Phillip
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Bensoussan, Alain
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Siu, Chi Chung
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Sung, K. C. P.
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Wei, J.
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1
Dynamic mean-variance problem with frictions
Bensoussan, Alain
;
Ma, Guiyuan
;
Siu, Chi Chung
;
Yam, …
- In:
Finance and stochastics
26
(
2022
)
2
,
pp. 267-300
Persistent link: https://www.econbiz.de/10013197583
Saved in:
2
A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain
;
Wong, Kwok Chuen
;
Yam, Sheung Chi Phillip
- In:
Finance and stochastics
23
(
2019
)
1
,
pp. 173-207
Persistent link: https://www.econbiz.de/10012023708
Saved in:
3
Markowitz’s mean-variance asset-liability management with regime switching : a time-consistent approach
Wei, J.
;
Wong, K. C.
;
Yam, Sheung Chi Phillip
;
Yung, S. P.
- In:
Insurance / Mathematics & economics
53
(
2013
)
1
,
pp. 281-291
Persistent link: https://www.econbiz.de/10009785391
Saved in:
4
Linear-quadratic time-inconsistent mean field games
Bensoussan, Alain
;
Sung, K. C. P.
;
Yam, Sheung Chi Phillip
- In:
Dynamic games and applications : DGA
3
(
2013
)
4
,
pp. 537-552
Persistent link: https://www.econbiz.de/10010246344
Saved in:
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