5 papers
Closed-loop strong equilibria for time-inconsistent control problems with higher-order moments
Yike Wang
In this paper, we study closed-loop strong equilibrium strategies for the time-inconsistent control problem with higher-order moments formulated by [Wang et al. SIAM J. Control. Op…
Equilibrium strategies for stochastic control problems with higher-order moments and applications to portfolio selection
Yike Wang, Jingzhen Liu, Jiaqin Wei
In this paper we derive a novel characterization result for time-consistent stochastic control problems with higher-order moments, originally formulated by Wang et al. [SIAM J. Con…
Time-consistent portfolio selection with monotone mean-variance preferences
Yike Wang, Yusha Chen, Jingzhen Liu
We investigate time-inconsistent portfolio problems under a broader class of monotone mean-variance (MMV) preferences. Since the optimal strategies for MMV and mean-variance (MV) p…
On stochastic control problems with higher-order moments
Yike Wang, Jingzhen Liu, Alain Bensoussan +2
In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the…
Strictly monotone mean-variance preferences with applications to portfolio selection
Yike Wang, Yusha Chen, Jingzhen Liu +1
The monotone mean-variance (MMV) preference proposed by Maccheroni, et al. (Math. Finance 19(3): 487-521, 2009) fails to differentiate strictly dominant payoffs, which may cause in…