Robust state-dependent mean-variance portfolio selection: a closed-loop approach
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Publication:2049552
DOI10.1007/s00780-021-00457-4zbMath1471.49028OpenAlexW3170640232MaRDI QIDQ2049552
Chi Seng Pun, Hoi Ying Wong, Bingyan Han
Publication date: 27 August 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-021-00457-4
model uncertaintytime-inconsistencyclosed-loop controlstate-dependencerobust mean-variance portfolio selection
Applications of optimal control and differential games (49N90) Applications of game theory (91A80) Financial applications of other theories (91G80) Portfolio theory (91G10)
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