Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection

DOI10.1109/TAC.2019.2931463MaRDI QIDQ5125593zbMATH OpenFDO

Authors Yuan-Hua Ni, Xun Li, Jifeng Zhang, Miroslav Krstic

Publication date 7 October 2020

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.08500

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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Cited in

(9)

• Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
• Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• scientific article; zbMATH DE number 6531505 (Why is no real title available?)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• A Nash-type fictitious game framework to time-inconsistent stochastic control problems
• Equilibrium Solutions of Multi-Period Mean-Variance Portfolio Selection
• Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach

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