Constrained Monotone Mean-Variance Problem with Random Coefficients

DOI10.1137/22m154418xzbMath1520.91370arXiv2212.14188MaRDI QIDQ6169625

Ying Hu, Xiao-Min Shi, Zuo Quan Xu

Publication date: 15 August 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2212.14188

zbMATH Keywords

robust controlrandom coefficientscone constraintsmonotone mean-variance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites Work

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• Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• Semimartingale theory of monotone mean–variance portfolio allocation

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