Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems

DOI10.1016/j.sysconle.2017.09.008zbMath1378.93146OpenAlexW2769056566MaRDI QIDQ680407

Xun Li, Jianhui Huang, Tian Xiao Wang

Publication date: 23 January 2018

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2017.09.008

zbMATH Keywords

time-inconsistencyclosed-loop equilibrium solutionsdynamic mean-variance portfolio optimizationstochastic linear quadratic problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)

Related Items

Time inconsistent asset-liability management with partial information, Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients, Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies, Equilibrium controls in time inconsistent stochastic linear quadratic problems, Necessary conditions in stochastic linear quadratic problems and their applications, Robust state-dependent mean-variance portfolio selection: a closed-loop approach, Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems, Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I

Cites Work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• On time-inconsistent stochastic control in continuous time
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
• Time-Inconsistent Stochastic Linear--Quadratic Control
• Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
• Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION