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    • A Paradox in Time-Consistency in the Mean-Variance Problem? 

      Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip (Springer Heidelberg, 2018-12-19)
      We establish new conditions under which a constrained (no short-selling) time-consistent equilibrium strategy, starting at a certain time, will beat the unconstrained counterpart, as measured by the magnitude of their ...