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

DOI10.1142/9789814571647_0008MaRDI QIDQ5256604zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cited in

(4)

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

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