Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization

DOI10.1137/120888600MaRDI QIDQ3192132zbMATH OpenOpenAlexFDO

Authors S. T. Tse, Yuying Li, P. A. Forsyth

Publication date 26 September 2014

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9e9fac6e8ad2d66016953d7363d9bc1bbbc6a84c

zbMATH Keywords

embeddingHJB equationmean variancePareto optimaloptimal trade executionscalarization optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80) Control/observation systems governed by partial differential equations (93C20)

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(7)

• An HJB approach to a general continuous-time mean-variance stochastic control problem
• Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
• Convergence of the embedded mean-variance optimal points with discrete sampling
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
• Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
• Robust asset allocation for long-term target-based investing

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