Mean-variance pre-commitment policies revisited via a mean-field technique

DOI10.1142/9789814571647_0008zbMATH Open1314.91189OpenAlexW2330920725MaRDI QIDQ5256604FDOQ5256604

Authors: K. C. Wong, Sheung Chi Phillip Yam, Alain Bensoussan 

Publication date: 19 June 2015

Published in: Recent Advances in Financial Engineering 2012 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814571647_0008

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Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cited In (4)

• Better than pre-committed optimal mean-variance policy in a jump diffusion market
• Mean-risk portfolio management with bankruptcy prohibition
• Utility-deviation-risk portfolio selection
• Stochastic control of optimized certainty equivalents

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