A Mean-Variance Approach to Capital Investment Optimization
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Publication:5742498
DOI10.1137/18M1176439zbMath1411.91481MaRDI QIDQ5742498
Zhongfeng Yan, SingRu (Celine) Hoe, Alain Bensoussan
Publication date: 14 May 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
mean-variance optimizationmean field type controlcapital investmentrisk aversetime-consistent solution
Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Cites Work
- On time-inconsistent stochastic control in continuous time
- Cost uncertainty and the rate of investment
- An exact solution for the investment and value of a firm facing uncertainty, adjustment costs, and irreversibility
- On the investment-uncertainty relationship in a real options model
- A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim
- Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
- Continuous time mean-variance portfolio optimization through the mean field approach
- Mean Field Games and Mean Field Type Control Theory
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Uncertainty and Investment Dynamics
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