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   Articles with "time consistent" as a keyword



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The time‐consistent dial‐a‐ride problem

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recommendations! Published in 2021 at "Networks"

DOI: 10.1002/net.22063

Abstract: In the context of door-to-door transportation of people with disabilities, service quality considerations such as maximum ride time and service time-consistency are critical requirements. To identify a good trade-off between these considerations and economic objectives,… read more here.

Keywords: dial ride; time; ride problem; time consistent ... See more keywords

Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

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recommendations! Published in 2019 at "Annals of Operations Research"

DOI: 10.1007/s10479-018-2991-z

Abstract: Dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works provide solution methods considering unrealistic assumptions, such as no transactional costs, small number of assets,… read more here.

Keywords: time; time consistent; portfolio optimization; transactional costs ... See more keywords

Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic

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recommendations! Published in 2019 at "Annals of Operations Research"

DOI: 10.1007/s10479-018-3032-7

Abstract: In this paper, we present a multistage time consistent Expected Conditional Risk Measure for minimizing a linear combination of the expected mean and the expected variance, so-called Expected Mean-Variance. The model is formulated as a… read more here.

Keywords: variance; time consistent; consistent expected; multistage ... See more keywords

To Abate, or Not to Abate? The Arising of the Win–Win Solution Under Time Consistent Emission Taxation

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recommendations! Published in 2024 at "Environmental and Resource Economics"

DOI: 10.1007/s10640-024-00879-6

Abstract: We analyse a model of environmental regulation where two firms can optimally decide to invest in an emission abatement technology and the regulator taxes firms’ emissions in a time-consistent manner. Depending on the values of… read more here.

Keywords: emission; win win; time consistent; win solution ... See more keywords

Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset

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recommendations! Published in 2019 at "Finance Research Letters"

DOI: 10.1016/j.frl.2018.07.004

Abstract: Abstract When a financial institution has a difficulty to close a position in an illiquid asset, a practical solution is to hedge the risk of the position with a related liquid asset. This may frequently… read more here.

Keywords: time; time consistent; illiquid asset; asset ... See more keywords

Time-consistent proportional reinsurance and investment strategies under ambiguous environment

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recommendations! Published in 2018 at "Insurance: Mathematics and Economics"

DOI: 10.1016/j.insmatheco.2018.09.007

Abstract: In this paper, we study the equilibrium proportional reinsurance and investment strategies for an insurer in an environment with parameter uncertainties. The insurer can buy proportional reinsurance business to hedge its insurance risks. However, the… read more here.

Keywords: time consistent; proportional reinsurance; investment strategies; reinsurance investment ... See more keywords
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Optimal Time-Consistent Monetary, Fiscal and Debt Maturity Policy

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recommendations! Published in 2021 at "Journal of Monetary Economics"

DOI: 10.1016/j.jmoneco.2020.03.015

Abstract: We develop a New Keynesian model with government bonds of mixed matu- rity and solve for optimal time-consistent policy using global solution techniques. This reveals several non-linearities absent from LQ analyses with one-period debt. Firstly,… read more here.

Keywords: debt; policy; debt maturity; time consistent ... See more keywords

A quantitative theory of time-consistent unemployment insurance

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recommendations! Published in 2020 at "Journal of Monetary Economics"

DOI: 10.1016/j.jmoneco.2020.06.003

Abstract: Abstract During recessions, the U.S. government substantially increases the duration of unemployment insurance (UI) benefits through multiple extensions. Benefit extensions increase UI coverage and lead to higher average consumption of unemployed workers, but the expectation… read more here.

Keywords: time consistent; unemployment; unemployment insurance; benefit extensions ... See more keywords

Time consistent behavioral portfolio policy for dynamic mean–variance formulation

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recommendations! Published in 2017 at "Journal of the Operational Research Society"

DOI: 10.1057/s41274-017-0179-6

Abstract: Abstract When one considers an optimal portfolio policy under a mean-risk formulation, it is essential to correctly model investors’ risk aversion which may be time variant or even state dependent. In this paper, we propose… read more here.

Keywords: time consistent; portfolio; mean variance; time ... See more keywords

Time consistent in efficiency dynamic mean–variance policy

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recommendations! Published in 2022 at "Journal of the Operational Research Society"

DOI: 10.1080/01605682.2022.2032428

Abstract: Abstract The dynamic mean–variance formulation for a market with all risky assets is not time consistent in efficiency (TCIE), in the sense that the pre-committed policy, which is optimal for the entire investment horizon, could… read more here.

Keywords: time consistent; time; dynamic mean; mean variance ... See more keywords

Robust time-consistent strategies of DC pension plans with the return of premiums clauses under inflation

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recommendations! Published in 2024 at "Communications in Statistics - Theory and Methods"

DOI: 10.1080/03610926.2024.2347334

Abstract: Abstract. This article investigates the robust time-consistent investment strategy for a DC pension plan with model uncertainty under the mean-variance optimization objective. For the avoidance of reductions in investment returns due to inflation risk and… read more here.

Keywords: robust time; inflation; consistent strategies; time consistent ... See more keywords