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http://hdl.handle.net/10397/93893
Title: | Equilibrium solutions of multiperiod mean-variance portfolio selection | Authors: | Ni, YH Li, X Zhang, JF Krstic, M |
Issue Date: | Apr-2020 | Source: | IEEE transactions on automatic control, Apr. 2020, v. 65, no. 4, p. 1716-1723 | Abstract: | This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic linear-quadratic problem, SIAM J. Control Optim., vol. 57, no. 1, 533-569, 2019], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium strategy and mixed equilibrium solution for a time-inconsistent stochastic linear-quadratic problem. This note is, on the one hand, to test the developed theory of that paper and on the other hand to push the solvability of multiperiod mean-variance portfolio selection. A nondegenerate assumption, which is popular in the existing literature about multiperiod mean-variance portfolio selection, has been removed in this note; and neat conditions have been obtained to characterize the existence of equilibrium solutions. | Keywords: | Multiperiod mean-variance portfolio selection Stochastic linear-quadratic (LQ) control Time inconsistency |
Publisher: | Institute of Electrical and Electronics Engineers | Journal: | IEEE transactions on automatic control | ISSN: | 0018-9286 | EISSN: | 1558-2523 | DOI: | 10.1109/TAC.2019.2931463 | Rights: | © 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. The following publication Ni, Y. H., Li, X., Zhang, J. F., & Krstic, M. (2019). Equilibrium solutions of multiperiod mean-variance portfolio selection. IEEE Transactions on Automatic Control, 65(4), 1716-1723 is available at https://doi.org/10.1109/TAC.2019.2931463 |
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