Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems (Q680407): Difference between revisions

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-Tian Xiao Wang
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+Tian Xiao Wang
@@ Property / author: Tian Xiao Wang / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.sysconle.2017.09.008
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+W2769056566
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@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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+Time-consistent mean-variance portfolio selection in discrete and continuous time
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+Time-inconsistent optimal control problems and the equilibrium HJB equation
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+Time-Inconsistent Stochastic Linear--Quadratic Control
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+Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
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+Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
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