As the dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the...

For time inconsistent multi-period mean-variance portfolio decision, we develop a two-tier planner-doer game model with self-control, in which planner and doers represent different interests of the same investor at different time instants and planner (the willpower to resist short term...