Robust state-dependent mean–variance portfolio selection: a closed-loop approach
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DOI: 10.1007/s00780-021-00457-4
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- Qian Lei & Chi Seng Pun, 2021. "Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games," Papers 2112.14409, arXiv.org, revised Sep 2023.
- Bingyan Han, 2022. "Distributionally robust risk evaluation with a causality constraint and structural information," Papers 2203.10571, arXiv.org, revised Aug 2024.
- Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2023. "Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach," Papers 2306.16982, arXiv.org, revised Sep 2024.
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More about this item
Keywords
Closed-loop control; Robust mean–variance portfolio selection; State-dependence; Time-inconsistency; Model uncertainty;All these keywords.
JEL classification:
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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