Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/35889
Title: Unified framework of mean-field formulations for optimal multi-period mean-variance portfolio selection
Authors: Cui, XY
Li, X 
Li, D
Keywords: Stochastic optimal control
Mean-field formulation
Multi-period mean-variance (MV) portfolio selection
Intertemporal restrictions
Risk control over bankruptcy
Issue Date: 2014
Publisher: Institute of Electrical and Electronics Engineers
Source: IEEE transactions on automatic control, 2014, v. 59, no. 7, p. 1833-1844 How to cite?
Journal: IEEE transactions on automatic control 
Abstract: When a dynamic optimization problem is not decomposable by a stage-wise backward recursion, it is nonseparable in the sense of dynamic programming. The classical dynamic programming-based optimal stochastic control methods would fail in such nonseparable situations as the principle of optimality no longer applies. Among these notorious nonseparable problems, the dynamic mean-variance portfolio selection formulation had posed a great challenge to our research community until recently. Different from the existing literature that invokes embedding schemes and auxiliary parametric formulations to solve the dynamic mean-variance portfolio selection formulation, we propose in this paper a novel mean-field framework that offers a more efficient modeling tool and a more accurate solution scheme in tackling directly the issue of nonseparability and deriving the optimal policies analytically for the multi-period mean-variance-type portfolio selection problems.
URI: http://hdl.handle.net/10397/35889
ISSN: 0018-9286 (print)
1558-2523 (online)
DOI: 10.1109/TAC.2014.2311875
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