TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION

DOI10.1142/S0219024921500035zbMath1466.91279arXiv2002.02604OpenAlexW3134959641MaRDI QIDQ4990918

Igor Cialenco, Tomasz R. Bielecki, Tao Chen

Publication date: 1 June 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.02604

zbMATH Keywords

stochastic controlmodel uncertaintymachine learningadaptive robust controlmean-variance portfolio selectionoptimal portfolio allocationregression Monte Carlorecursive confidence regionsadaptive robust dynamic programmingGaussian surrogate processesterminal criteriatime-inconsistent Markovian control problem

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Applications of game theory (91A80) Adaptive control/observation systems (93C40) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

Related Items (2)

Data-driven nonparametric robust control under dependence uncertainty ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs

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