Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
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Publication:6183322
DOI10.1007/s00245-023-10085-3zbMath1530.91537MaRDI QIDQ6183322
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Publication date: 4 January 2024
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
time inconsistencydeep learningclosed-loop equilibrium strategiesdynamic mean-variance problemsstochastic Riccati system
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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