Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems

Volume: 91, Issue: 3, Pages: 405 - 438
Published: Dec 12, 2019
Abstract
We present a modified verification theorem for the equilibrium control of a general class of portfolio problems. The general class of portfolio problems studied in this paper, is characterized by an objective where the investor seeks to maximize a functional of two conditional expectations of terminal wealth. The objective functional is allowed to be non-linear in the conditional expectations, and thus the problem class is in general terms...
Paper Details
Title
Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
Published Date
Dec 12, 2019
Volume
91
Issue
3
Pages
405 - 438
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