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Linear-quadratic time-inconsistent mean field games
Bensoussan, Alain; Sung, K. C. P.; Yam, Sheung Chi Phillip - In: Dynamic games and applications : DGA 3 (2013) 4, pp. 537-552
Persistent link: https://www.econbiz.de/10010246344
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Markowitz’s mean-variance asset-liability management with regime switching : a time-consistent approach
Wei, J.; Wong, K. C.; Yam, Sheung Chi Phillip; Yung, S. P. - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 281-291
Persistent link: https://www.econbiz.de/10009785391
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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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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