Equilibrium Solutions of Multi-Period Mean-Variance Portfolio Selection

DOI10.1109/TAC.2019.2931463MaRDI QIDQ6299446arXivFDO

Authors Yuan-Hua Ni, Xun Li, Jifeng Zhang, Miroslav Krstic

Publication date 22 March 2018

Published in arXiv

Full work available at URL https://doi.org/10.1109/TAC.2019.2931463

Mathematics Subject Classification ID

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

arXiv classification

math.OC

Abstract: This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic LQ problem, arXiv:1802.03032], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium strategy and mixed equilibrium solution for a time-inconsistent stochastic linear-quadratic problem. This note is, on the one hand to test the developed theory of that paper, and on the other hand to push the solvability of multi-period mean-variance portfolio selection. A nondegenerate assumption has been removed in this note, which is popular in existing literature about multi-period mean-variance portfolio selection; and neat conditions have been obtained to characterize the existence of equilibrium solutions.

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