Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
DOI10.1016/J.SYSCONLE.2017.09.008zbMATH Open1378.93146OpenAlexW2769056566MaRDI QIDQ680407FDOQ680407
Authors: Jianhui Huang, Xun Li, Tianxiao Wang 
Publication date: 23 January 2018
Published in: Systems \& Control Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.sysconle.2017.09.008
Recommendations
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- A closed form solution for optimal dynamic portfolio problems
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- scientific article
time-inconsistencyclosed-loop equilibrium solutionsdynamic mean-variance portfolio optimizationstochastic linear quadratic problems
Portfolio theory (91G10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cites Work
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- A theory of Markovian time-inconsistent stochastic control in discrete time
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Time-inconsistent stochastic linear-quadratic control
- Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- On time-inconsistent stochastic control in continuous time
- Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
Cited In (11)
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION
- Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Time inconsistent asset-liability management with partial information
- A parametric characterization of mean-variance efficient solutions for general feasible action sets
- Necessary conditions in stochastic linear quadratic problems and their applications
This page was built for publication: Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q680407)
