Since the pioneering work of Harry Markowitz, mean–variance portfolio selection model has
been widely used in both theoretical and empirical studies, which maximizes the investment …

This paper investigates a dynamic continuous-time asset-liability management (ALM)
problem with delay under the mean-variance criterion. The investor allocates her wealth in a …

In this article, we provide the first study in the time consistent solution of the mean–variance
asset–liability management (MVALM). The framework is even considered under a …

A game-theoretic framework for time-inconsistent stopping problems where the time-
inconsistency is due to the consideration of a non-linear function of an expected reward is …

This paper studies a generalized multi-period mean–variance portfolio selection problem
within the game theoretic framework for a defined-contribution pension scheme member …

This paper studies the optimal dividend strategies of an insurance company when the
manager has time-inconsistent preferences. We consider the problem for a naive manager …

We investigate the time-consistent mean–variance (MV) portfolio optimization problem,
popular in investment–reinsurance and investment-only applications, under a realistic …

We consider a class of linear-quadratic-Gaussian mean-field games having a major agent
and numerous heterogeneous minor agents in the presence of mean-field interactions. The …

Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in
the future that is optimal for an agent today may not be optimal for the same agent in the …

We study a dynamic mean–variance portfolio selection problem with return predictability and
trading frictions from price impact. Applying mean-field type control theory, we provide a …