Mean-Variance Pre-Commitment Policies Revisited Via a Mean-Field Technique

DOI10.1142/9789814571647_0008zbMath1314.91189OpenAlexW2330920725MaRDI QIDQ5256604

Kwok Chuen Wong, Sheung Chi Phillip Yam, Alain Bensoussan

Publication date: 19 June 2015

Published in: Recent Advances in Financial Engineering 2012 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814571647_0008

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Stochastic Control of Optimized Certainty Equivalents ⋮ Mean-risk portfolio management with bankruptcy prohibition ⋮ Utility-Deviation-Risk Portfolio Selection

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