Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
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Cited by:
- Tao Chen & Jiyoun Myung, 2020. "Nonparametric Adaptive Bayesian Stochastic Control Under Model Uncertainty," Papers 2011.04804, arXiv.org, revised Mar 2022.
- Erhan Bayraktar & Tao Chen, 2023.
"Data-Driven Non-Parametric Robust Control under Dependence Uncertainty,"
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- Erhan Bayraktar & Tao Chen, 2022. "Data-Driven Nonparametric Robust Control under Dependence Uncertainty," Papers 2209.04976, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2020-03-02 (Computational Economics)
- NEP-ORE-2020-03-02 (Operations Research)
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