Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model

DOI10.3934/JIMO.2019133MaRDI QIDQ2031371zbMATH OpenOpenAlexFDO

Authors Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Publication date 9 June 2021

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2019133

zbMATH Keywords

closed-loop equilibrium strategylog-returnmean-varianceopen-loop equilibrium strategytime-consistent

Mathematics Subject Classification ID

Brownian motion (60J65) Management decision making, including multiple objectives (90B50) Dynamic programming (90C39) Financial applications of other theories (91G80)

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Cites work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• Asset and liability management under a continuous-time mean-variance optimization framework
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• Dynamic mean-variance portfolio selection with borrowing constraint
• Horizon length and portfolio risk
• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
• Mean-variance portfolio optimization with state-dependent risk aversion
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• On time-inconsistent stochastic control in continuous time
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Time-consistent mean-variance asset-liability management with random coefficients
• Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

Cited in

(8)

• Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
• Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
• Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
• Mean-variance portfolio selection with non-negative state-dependent risk aversion
• Optimal investment selection game problems for institutional investors under log returns
• Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
• Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
• Time-inconsistent linear-quadratic social optima for large population system

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