Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE

DOI10.1016/J.CAMWA.2018.09.057MaRDI QIDQ2203753zbMATH OpenOpenAlexWikidataFDO

Authors Jixia Wang, Pan Zhao, Qinghui Gao

Publication date 2 October 2020

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.camwa.2018.09.057

zbMATH Keywords

HJB equationnon-extensive statistical mechanicsnon-linear wealth equationportfolio selectionviscosity solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• Backward Stochastic Differential Equations in Finance
• Continuous-time mean-risk portfolio selection
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
• Dynamic mean-variance portfolio selection with borrowing constraint
• Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Optimal consumption-portfolio problem with CVaR constraints
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics
• Possible generalization of Boltzmann-Gibbs statistics.

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• Optimal investment problem under non-extensive statistical mechanics
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• Stochastic optimal switching model for migrating population dynamics
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• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics

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