Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection (Q4990918)
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scientific article; zbMATH DE number 7353440
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| English | Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection |
scientific article; zbMATH DE number 7353440 |
Statements
TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION (English)
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1 June 2021
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adaptive robust control
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model uncertainty
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stochastic control
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adaptive robust dynamic programming
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recursive confidence regions
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time-inconsistent Markovian control problem
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optimal portfolio allocation
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mean-variance portfolio selection
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terminal criteria
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machine learning
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Gaussian surrogate processes
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regression Monte Carlo
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0.8444198369979858
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0.8090473413467407
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0.8058257699012756
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0.802850604057312
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0.8021551370620728
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