Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
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Publication:2031371
DOI10.3934/jimo.2019133zbMath1474.90229OpenAlexW2982415398MaRDI QIDQ2031371
Shuanming Li, Ping Chen, Jiannan Zhang, Zhuo Jin
Publication date: 9 June 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2019133
mean-variancetime-consistentclosed-loop equilibrium strategylog-returnopen-loop equilibrium strategy
Management decision making, including multiple objectives (90B50) Brownian motion (60J65) Dynamic programming (90C39) Financial applications of other theories (91G80)
Related Items (3)
Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Unnamed Item
Cites Work
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