TIME-CONSISTENCY

作品数：3被引量：15H指数：2
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相关作者：高杨更多>>
相关机构：辽宁大学更多>>
相关期刊：《Acta Mathematicae Applicatae Sinica》《Journal of Systems Science & Complexity》更多>>
相关基金：国家自然科学基金湖北省自然科学基金中国博士后科学基金更多>>
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A Class of General Transformation of Characteristic Functions in Dynamic Games被引量：2
《Journal of Systems Science & Complexity》2020年第6期1997-2012,共16页LIU Cui GAO Hongwei PETROSIAN Ovanes LIU Ying WANG Lei 
the National Natural Science Foundation of China under Grant No.71571108;China Postdoctoral Science Foundation Funded Project under Grant No.2016M600525;Qingdao Postdoctoral Application Research Project under Grant No.2016029。
The transformation of characteristic functions is an effective way to avoid time-inconsistency of cooperative solutions in dynamic games.There are several forms on the transformation of characteristic functions.In thi...
关键词：Dynamic cooperative game general transformation of characteristic function irrational-behavior-proof condition TIME-CONSISTENCY 
Optimal Time-consistent Investment and Reinsurance Strategy for Mean-variance Insurers Under the Inside Information被引量：4
《Acta Mathematicae Applicatae Sinica》2016年第4期1087-1100,共14页Jing CAO Xing-chun PENG Yi-jun HU 
Supported in part by the Natural Science Foundation of Hubei Province under Grant 2015CKB737;the National Natural Science Foundation of China under Grant No.11371284
In this paper, we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion, in which the insurer has some inside information at her disposa...
关键词：REINSURANCE PORTFOLIO inside information TIME-CONSISTENCY mean-variance criterion 
Time-Consistent Investment Strategy for DC Pension Plan with Stochastic Salary Under CEV Model被引量：9
《Journal of Systems Science & Complexity》2016年第2期428-454,共27页LI Danping RONG Ximin ZHAO Hui 
the National Natural Science Foundation of China under Grant Nos.11201335,11301376,and 71573110
This paper aims to derive the time-consistent investment strategy for the defined contribution(DC) pension plan under the mean-variance criterion.The financial market consists of a risk-free asset and a risky asset of...
关键词：Constant elasticity of variance model defined contribution pension plan mean-variance criterion stochastic salary time-consistency investment strategy. 
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