Constrained utility deviation-risk optimization and time-consistent HJB equation

DOI10.1137/19M1256014MaRDI QIDQ5221327zbMATH OpenFDO

Authors Shijing Si, Harry Zheng, Jia-Wen Gu

Publication date 25 March 2020

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/19M1256014

zbMATH Keywords

control constraintincomplete marketstochastic risk aversiontime-consistent dynamic programming equationutility deviation-risk optimization

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamic programming (90C39)

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Cites work

• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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• Mean-variance portfolio optimization with state-dependent risk aversion
• MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
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• Portfolio choice via quantiles
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• Time-inconsistent stochastic linear-quadratic control
• Utility-deviation-risk portfolio selection

Cited in

(9)

• Dynamic mean-variance problem with frictions
• A level-set approach for stochastic optimal control problems under controlled-loss constraints
• Optimal pairs trading with dynamic mean-variance objective
• scientific article; zbMATH DE number 2134085 (Why is no real title available?)
• Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
• Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications
• Online portfolio selection with state-dependent price estimators and transaction costs
• Pairs trading with stock borrowing fee
• Robust equilibrium strategy for mean-variance-skewness portfolio selection problem with long memory

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