Bensoussan, A.; Sung, K.; Yam, S. - In: Dynamic Games and Applications 3 (2013) 4, pp. 537-552
In this paper, we study a class of time-inconsistent analogs (in the sense of Hu et al. (Time-inconsistent stochastic linear–quadratic control. Preprint, <CitationRef CitationID="CR13">2012</CitationRef>) which is originated from the mean-variance portfolio selection problem with state-dependent risk aversion in the context of financial...</citationref>
