This paper studies a multi-period mean-variance (MV) portfolio selection problem in a market of one risk-free asset and one risky asset traded with proportional transaction costs and no-shorting constraint. A particular interest of this study is to investigate the time consistency in efficiency...

We prove the well-posedness results, i.e. existence, uniqueness, and stability, of the solutions to a class of nonlocal fully nonlinear parabolic partial differential equations (PDEs), where there is an external time parameter $t$ on top of the temporal and spatial variables $(s,y)$ and thus the...

This paper studies stochastic linear-quadratic control problems for an ambiguity-adverse agent with a time-inconsistent objective. We allow the agent to incorporate disturbances into the state's drift or choose an alternative model among a set of models equivalent to the reference model, to...

This paper establishes a general analytical framework for continuous-time stochastic control problems for an ambiguity-averse agent (AAA) with time-inconsistent preference, where the control problems do not satisfy Bellman's principle of optimality. The AAA is concerned about model uncertainty...