Robust state-dependent mean-variance portfolio selection: a closed-loop approach
DOI10.1007/S00780-021-00457-4zbMATH Open1471.49028OpenAlexW3170640232MaRDI QIDQ2049552FDOQ2049552
Authors: Bingyan Han, Chi Seng Pun, Hoi Ying Wong 
Publication date: 27 August 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-021-00457-4
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model uncertaintytime-inconsistencyclosed-loop controlstate-dependencerobust mean-variance portfolio selection
Applications of game theory (91A80) Portfolio theory (91G10) Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80)
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Cited In (7)
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Mean-variance portfolio selection with non-negative state-dependent risk aversion
- Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
- Robust retirement and life insurance with inflation risk and model ambiguity
- Robust classical-impulse stochastic control problems in an infinite horizon
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
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