Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization

DOI10.1137/120888600zbMath1297.90148OpenAlexW2067591726MaRDI QIDQ3192132

Yuying Li, S. T. Tse, Peter A. I. Forsyth

Publication date: 26 September 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9e9fac6e8ad2d66016953d7363d9bc1bbbc6a84c

zbMATH Keywords

embedding HJB equation Pareto optimal mean variance optimal trade execution scalarization optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Control/observation systems governed by partial differential equations (93C20) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (7)

Convergence of the embedded mean-variance optimal points with discrete sampling ⋮ Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach ⋮ The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management ⋮ Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies ⋮ ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING ⋮ Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach ⋮ An HJB approach to a general continuous-time mean-variance stochastic control problem

This page was built for publication: Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization