Continuous time mean-variance portfolio optimization through the mean field approach (Q2954223): Difference between revisions

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+A maximum principle for SDEs of mean-field type
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+Multiperiod mean-variance portfolio optimization via market cloning
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+Linear-quadratic mean field games
@@ Property / cites work: Linear-quadratic mean field games / rank @@
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+A theory of Markovian time-inconsistent stochastic control in discrete time
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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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+A general stochastic maximum principle for SDEs of mean-field type
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+Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
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+Control of McKean-Vlasov dynamics versus mean field games
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+Controlled Markov processes and viscosity solutions
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+A CLASS OF MARKOV PROCESSES ASSOCIATED WITH NONLINEAR PARABOLIC EQUATIONS
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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