TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION (Q4990918)
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scientific article; zbMATH DE number 7353440
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION |
scientific article; zbMATH DE number 7353440 |
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TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION (English)
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1 June 2021
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adaptive robust control
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model uncertainty
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stochastic control
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adaptive robust dynamic programming
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recursive confidence regions
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time-inconsistent Markovian control problem
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optimal portfolio allocation
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mean-variance portfolio selection
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terminal criteria
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machine learning
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Gaussian surrogate processes
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regression Monte Carlo
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