Paper Info
Title
Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems.
Abstract
Herein, we study the dynamic mean–variance portfolio optimization problems with deterministic coefficients. An intrinsic characterization of closed-loop equilibrium solutions is obtained for the first time. Our approach proposed here not only essentially differs from that in existing literature, but also avoids conventional complicated convergence arguments. Applying the characterization obtained, we prove that this optimization problem actually admits unique closed-loop equilibrium solution.
Year
DOI
Venue
2017
10.1016/j.sysconle.2017.09.008
Systems & Control Letters
Keywords
Field
DocType
Stochastic linear quadratic problems,Time-inconsistency,Dynamic mean–variance portfolio optimization,Closed-loop equilibrium solutions
Convergence (routing),Mathematical optimization,Portfolio optimization,Optimization problem,Dynamic inconsistency,Mathematics
Journal
Volume
ISSN
Citations 
110
0167-6911
0
PageRank 
References 
Authors
0.34
6
3
Name
Order
Citations
PageRank
Jianhui Huang18114.20
Xun Li29714.61
Tianxiao Wang301.69