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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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Time-consistent mean-variance portfolio selection in discrete and continuous time
Czichowsky, Christoph - In: Finance and stochastics 17 (2013) 2, pp. 227-271
Persistent link: https://www.econbiz.de/10009730823
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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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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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
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Set-valued dynamic risk measures for processes and for vectors
Chen, Yanhong; Feinstein, Zachary - In: Finance and stochastics 26 (2022) 3, pp. 505-533
Persistent link: https://www.econbiz.de/10013440234
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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
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Conditional and dynamic convex risk measures
Detlefsen, Kai; Scandolo, Giacomo - In: Finance and stochastics 9 (2005) 4, pp. 539-561
Persistent link: https://www.econbiz.de/10003133271
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Present-biased lobbyists in linear-quadratic stochastic differential games
Lazrak, Ali; Wang, Hanxiao; Yong, Jiongmin - In: Finance and stochastics 27 (2023) 4, pp. 947-984
Persistent link: https://www.econbiz.de/10014426401
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Asset pricing with dynamically inconsistent agents
Khapko, Mariana - In: Finance and stochastics 27 (2023) 4, pp. 1017-1046
Persistent link: https://www.econbiz.de/10014426412