Mean-variance optimization in discrete-time decision processes with general utility function

DOI10.1016/J.AUTOMATICA.2025.112142MaRDI QIDQ6929983zbMATH OpenFDO

Authors Nicole Bäuerle, Anna Jaskiewicz, Andrzej S. Nowak

Publication date 16 September 2025

Published in Automatica (Search for Journal in Brave)

zbMATH Keywords

portfolio selectiondecision processinvestment decisionsstochastic dynamic programmingmean-variance optimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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