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Title: Characterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problems
Authors: Huang, J 
Li, X 
Wang, T
Issue Date: Dec-2017
Source: Systems and control letters, Dec. 2017, v. 110, p. 15-20
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.
Keywords: Closed-loop equilibrium solutions
Dynamic mean–variance portfolio optimization
Stochastic linear quadratic problems
Time-inconsistency
Publisher: Elsevier
Journal: Systems and control letters 
ISSN: 0167-6911
DOI: 10.1016/j.sysconle.2017.09.008
Rights: © 2017 Elsevier B.V. All rights reserved.
© 2017. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
The following publication Huang, J., Li, X., & Wang, T. (2017). Characterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problems. Systems & Control Letters, 110, 15-20 is available at https://doi.org/10.1016/j.sysconle.2017.09.008
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