Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems

DOI10.1016/J.SYSCONLE.2017.09.008MaRDI QIDQ680407zbMATH OpenOpenAlexFDO

Authors Jianhui Huang, Xun Li, Tianxiao Wang

Publication date 23 January 2018

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2017.09.008

zbMATH Keywords

time-inconsistencyclosed-loop equilibrium solutionsdynamic mean-variance portfolio optimizationstochastic linear quadratic problems

Mathematics Subject Classification ID

Portfolio theory (91G10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cites work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Linear-quadratic optimal control problems for mean-field stochastic differential equations
• Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
• Mean-variance portfolio optimization with state-dependent risk aversion
• On time-inconsistent stochastic control in continuous time
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

Cited in

(11)

• A parametric characterization of mean-variance efficient solutions for general feasible action sets
• Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
• Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
• DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
• Equilibrium controls in time inconsistent stochastic linear quadratic problems
• Necessary conditions in stochastic linear quadratic problems and their applications
• On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
• Time inconsistent asset-liability management with partial information
• Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
• Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
• Robust state-dependent mean-variance portfolio selection: a closed-loop approach

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