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)

Recommendations

• Continuous time mean-variance portfolio optimization through the mean field approach
• Better than pre-committed optimal mean-variance policy in a jump diffusion market
• A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
• Mean-field maximum principle for optimal control of forward-backward stochastic systems with jumps and its application to mean-variance portfolio problem
• Comparison of mean variance like strategies for optimal asset allocation problems

Cited in

(4)

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

This page was built for publication: Mean-variance pre-commitment policies revisited via a mean-field technique

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5256604)