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Li, D · 2000 · Mathematical Finance · DOI 10.1111/1467-9965.00100 · arXiv 9965.00100

1 Pith paper cite this work, alongside 1,009 external citations. Polarity classification is still indexing.

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Time-consistent portfolio selection with monotone mean-variance preferences

math.OC · 2025-02-16 · unverdicted · novelty 5.0

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.

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Time-consistent portfolio selection with monotone mean-variance preferences math.OC · 2025-02-16 · unverdicted · none · ref 11
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.

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