Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies

DOI10.1007/S00245-023-10085-3MaRDI QIDQ6183322zbMATH OpenFDO

Authors

Publication date 4 January 2024

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

deep learningtime inconsistencyclosed-loop equilibrium strategiesdynamic mean-variance problemsstochastic Riccati system

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Mean-variance portfolio selection with non-negative state-dependent risk aversion
• Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
• Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
• Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
• Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients

Cites work

• A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
• Backward Stochastic Differential Equations in Finance
• Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
• Characterization of optimal feedback for stochastic linear quadratic control problems
• Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
• Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
• Equilibrium controls in time inconsistent stochastic linear quadratic problems
• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
• Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Mean-variance portfolio optimization with state-dependent risk aversion
• On the Existence of a Consistent Course of Action when Tastes are Changing
• On time-inconsistent stochastic control in continuous time
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Time-consistent mean-variance asset-liability management with random coefficients
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
• Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
• Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
• Time-inconsistent recursive stochastic optimal control problems
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

This page was built for publication: Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6183322)