Robust state-dependent mean-variance portfolio selection: a closed-loop approach
type: Item
instance of: scholarly article
title: Robust state-dependent mean-variance portfolio selection: a closed-loop approach
zbMATH Open document ID: 1471.49028
author: Bingyan Han
author: Chi Seng Pun
author: Hoi Ying Wong
published in: Finance and Stochastics
publication date: 2021-08-27T00:00:00Z
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 91A80
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 7387036
zbMATH Keywords: closed-loop control
zbMATH Keywords: robust mean-variance portfolio selection
zbMATH Keywords: state-dependence
zbMATH Keywords: time-inconsistency
zbMATH Keywords: model uncertainty
MaRDI profile type: Publication
full work available at URL: s00780-021-00457-4
OpenAlex ID: W3170640232
cites work: On time-inconsistent stochastic control in continuous time
cites work: A theory of Markovian time-inconsistent stochastic control in discrete time
cites work: MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
cites work: Risk, ambiguity and the Savage axioms
cites work: Ambiguous Correlation
cites work: Ambiguous volatility, possibility and utility in continuous time
cites work: Portfolio optimization with ambiguous correlation and stochastic volatilities
cites work: Maxmin expected utility with non-unique prior
cites work: Robustness
cites work: Robust control and model misspecification
cites work: Time-inconsistent stochastic linear-quadratic control
cites work: Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
cites work: Robust Mean Field Linear-Quadratic-Gaussian Games with Unknown $L^2$-Disturbance
cites work: Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
cites work: Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
cites work: On the existence of solutions to coupled matrix Riccati differential equations in linear quadratic Nash games
cites work: Minimax optimal control of stochastic uncertain systems with relative entropy constraints
cites work: Robust time-inconsistent stochastic control problems
cites work: G-expected utility maximization with ambiguous equicorrelation
cites work: Robust investment-reinsurance optimization with multiscale stochastic volatility
cites work: Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems
cites work: Statistical decision functions which minimize the maximum risk
cites work: Q5800557
cites work: Q4255599
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
DOI: 10.1007/S00780-021-00457-4
description: scientific article; zbMATH DE number 7387036