Robust state-dependent mean-variance portfolio selection: a closed-loop approach

DOI10.1007/S00780-021-00457-4zbMath1471.49028OpenAlexW3170640232MaRDI QIDQ2049552

Chi Seng Pun, Hoi Ying Wong, Bingyan Han

Publication date: 27 August 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-021-00457-4

zbMATH Keywords

model uncertaintytime-inconsistencyclosed-loop controlstate-dependencerobust mean-variance portfolio selection

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Applications of game theory (91A80) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate ⋮ Robust time-inconsistent stochastic linear-quadratic control with drift disturbance ⋮ An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ Nonlocality, nonlinearity, and time inconsistency in stochastic differential games ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Robust classical-impulse stochastic control problems in an infinite horizon

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