Characterizes Nash equilibria for MMV portfolio problems via FBSDEs and extended HJBs, with MMV equilibria investing more than MV ones and gap narrowing over time.
(2009).Mathematical methods for financial market
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Time-consistent portfolio selection with monotone mean-variance preferences
Characterizes Nash equilibria for MMV portfolio problems via FBSDEs and extended HJBs, with MMV equilibria investing more than MV ones and gap narrowing over time.