Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection

DOI10.1109/TAC.2019.2931463MaRDI QIDQ5125593

Krstić, Miroslav, Xun Li, Yuan-Hua Ni, Ji-Feng Zhang

Publication date: 7 October 2020

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.08500

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time ⋮ A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems

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