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  • Search: subject:"time-inconsistent control"
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Subject
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Time consistency 6 Zeitkonsistenz 5 Dynamic programming 4 Portfolio selection 4 Portfolio-Management 4 Stochastic process 4 Stochastischer Prozess 4 Bellman equation 3 Control theory 3 Dynamische Optimierung 3 Hyperbolic discounting 3 Kontrolltheorie 3 Stochastic control 3 Time inconsistency 3 Time-inconsistent control 3 Discounting 2 Diskontierung 2 Economy of time 2 Intertemporal choice 2 Intertemporale Entscheidung 2 Mathematical programming 2 Mathematische Optimierung 2 Mean-variance 2 Zeitökonomie 2 Asset-liability management 1 Bilanzstrukturmanagement 1 Career development 1 Equilibrium 1 Equilibrium strategy 1 Financial mathematics 1 Finanzmathematik 1 Hamilton-Jacobi-Bellman equation 1 In memoriam 1 Incomplete market 1 Interest rate 1 Interest rate theory 1 Karriereplanung 1 Legacy 1 Markov chain 1 Markov-Kette 1
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Undetermined 4
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Article 7
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6
Language
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English 6 Undetermined 1
Author
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Björk, Tomas 4 Murgoci, Agatha 4 Khapko, Mariana 2 Gaspar, Raquel M. 1 Pirvu, Traian A. 1 Wang, Tianxiao 1 Wei, Jiaqin 1 Zhang, Huayue 1 Zhou, Xun Yu 1
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Published in...
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Finance and stochastics 3 Applied mathematical finance 1 Finance and Stochastics 1 Insurance / Mathematics & economics 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1
Source
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ECONIS (ZBW) 6 RePEc 1
Showing 1 - 7 of 7
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In memoriam : Tomas Björk (1947-2021) : on his career and beyond
Gaspar, Raquel M.; Khapko, Mariana - In: Finance and stochastics 27 (2023) 4, pp. 867-885
Persistent link: https://www.econbiz.de/10014426393
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Time-consistent mean-variance asset-liability management with random coefficients
Wei, Jiaqin; Wang, Tianxiao - In: Insurance / Mathematics & economics 77 (2017), pp. 84-96
Persistent link: https://www.econbiz.de/10011783919
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and Stochastics 18 (2014) 3, pp. 545-592
<Para ID="Par1">We develop a theory for a general class of discrete-time stochastic control problems that, in various ways, are time-inconsistent in the sense that they do not admit a Bellman optimality principle. We attack these problems by viewing them within a game theoretic framework, and we look for...</para>
Persistent link: https://www.econbiz.de/10010997050
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Mean-variance portfolio optimization with state-dependent risk aversion
Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010256230
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
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On time-inconsistent stochastic control in continuous time
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - In: Finance and stochastics 21 (2017) 2, pp. 331-360
Persistent link: https://www.econbiz.de/10011944378
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Utility indifference pricing : a time consistent approach
Pirvu, Traian A.; Zhang, Huayue - In: Applied mathematical finance 20 (2013) 3/4, pp. 304-326
Persistent link: https://www.econbiz.de/10010187662
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