135 citations · 159 across the 15 of their papers we have counts for
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math.OC2018★ 6 cited
Equilibrium Solutions of Multi-Period Mean-Variance Portfolio Selection
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize th…
math.OC2018★ 6 cited
Mixed Equilibrium Solution of Time-Inconsistent Stochastic LQ Problem
Yuan-Hua Ni, Xun Li, Ji-Feng Zhang +1
In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilib…