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math.OC2026
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…
math.OC2026
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…