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)

Full work available at URL https://doi.org/10.1007/S00245-023-10085-3

zbMATH Keywords

closed-loop equilibrium strategiesdeep learningdynamic mean-variance problemsstochastic Riccati systemtime inconsistency

Mathematics Subject Classification ID

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

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Cites work

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