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Time-consistent and market-consistent evaluations
Pelsser, Antoon André Jean; Stadje, Mitja - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 25-65
Persistent link: https://www.econbiz.de/10010256228
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Building up time-consistency for risk measures and dynamic optimizatio
De Lara, Michel; Leclère, Vincent - In: European journal of operational research : EJOR 249 (2016) 1, pp. 177-187
Persistent link: https://www.econbiz.de/10011435779
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On the price of commitment assets in a general equilibrium model with credit constraints and tempted consumers
Woźny, Łukasz - In: The B.E. journal of theoretical economics 16 (2016) 2, pp. 579-598
Persistent link: https://www.econbiz.de/10011507605
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Time-consistency of optimal investment under smooth ambiguity
Balter, Anne G.; Mahayni, Antje; Schweizer, Nikolaus - In: European journal of operational research : EJOR 293 (2021) 2, pp. 643-657
Persistent link: https://www.econbiz.de/10012513245
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Time-consistent portfolio optimization
Peng, Ling; Kloeden, Peter E. - In: European journal of operational research : EJOR 288 (2021) 1, pp. 183-193
Persistent link: https://www.econbiz.de/10012496547
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Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114
Persistent link: https://www.econbiz.de/10011990618
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Time-consistency of risk measures : how strong is such a property?
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 287-317
Persistent link: https://www.econbiz.de/10012065238
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Dynamically consistent investment under model uncertainty : the robust forward criteria
Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918
Persistent link: https://www.econbiz.de/10011946570
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On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
Cong, F.; Oosterlee, Cornelis Willebrordus - In: Journal of economic dynamics & control 70 (2016), pp. 178-193
Persistent link: https://www.econbiz.de/10011708681
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Reinforcement learning with dynamic convex risk measures
Coache, Anthony; Jaimungal, Sebastian - In: Mathematical finance : an international journal of … 34 (2024) 2, pp. 557-587
Persistent link: https://www.econbiz.de/10014514792