Multiperiod mean-standard-deviation time consistent portfolio selection

DOI10.1016/j.automatica.2016.06.021zbMath1372.93216OpenAlexW2510867339MaRDI QIDQ2409276

Wei Wu, Hugh Bannister, Spiridon I. Penev, Beniamin Goldys

Publication date: 11 October 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2016.06.021

zbMATH Keywords

dynamic programmingdiscrete timetime consistencynon-self-financingmean-standard-deviation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion, On asymptotic log-optimal portfolio optimization, Equilibrium multi-agent model with heterogeneous views on fundamental risks, Decision on risk-averse dual-channel supply chain under demand disruption, TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION, Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems

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