The time‐consistent dial‐a‐ride problem
Sign Up to like & getrecommendations! 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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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
Sign Up to like & getrecommendations! 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
Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset
Sign Up to like & getrecommendations! 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
Sign Up to like & getrecommendations! 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
Optimal Time-Consistent Monetary, Fiscal and Debt Maturity Policy
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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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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
Sign Up to like & getrecommendations! 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
Sign Up to like & getrecommendations! 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
Time-consistent hopping transport with vibration-mode-resolved electron-phonon couplings
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DOI: 10.1103/physrevb.104.054306
Abstract: Charge transport in organic semiconductors is affected by the complex interaction between charge carriers and molecular vibrations. A common way to treat the molecular vibrations in hopping approaches is by condensing them into a single… read more here.
Keywords: time consistent; transport materials; hopping transport; transport ... See more keywords
Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions
Sign Up to like & getrecommendations! Published in 2021 at "IEEE Transactions on Automatic Control"
DOI: 10.1109/tac.2020.2979128
Abstract: In this article, we consider the linear-quadratic time-inconsistent mean-field type leader–follower Stackelberg differential game with an adapted open-loop information structure. The objective functionals of the leader and the follower include conditional expectations of state and… read more here.
Keywords: time; control; time consistent; leader ... See more keywords