Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/73762
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Huang, J | en_US |
dc.creator | Li, X | en_US |
dc.creator | Wang, T | en_US |
dc.date.accessioned | 2018-03-29T07:15:16Z | - |
dc.date.available | 2018-03-29T07:15:16Z | - |
dc.identifier.issn | 0167-6911 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/73762 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | © 2017 Elsevier B.V. All rights reserved. | en_US |
dc.rights | © 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/ | en_US |
dc.rights | 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 | en_US |
dc.subject | Closed-loop equilibrium solutions | en_US |
dc.subject | Dynamic mean–variance portfolio optimization | en_US |
dc.subject | Stochastic linear quadratic problems | en_US |
dc.subject | Time-inconsistency | en_US |
dc.title | Characterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problems | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 15 | en_US |
dc.identifier.epage | 20 | en_US |
dc.identifier.volume | 110 | en_US |
dc.identifier.doi | 10.1016/j.sysconle.2017.09.008 | en_US |
dcterms.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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Systems and control letters, Dec. 2017, v. 110, p. 15-20 | en_US |
dcterms.isPartOf | Systems and control letters | en_US |
dcterms.issued | 2017-12 | - |
dc.identifier.scopus | 2-s2.0-85032833788 | - |
dc.identifier.rosgroupid | 2017000107 | - |
dc.description.ros | 2017-2018 > Academic research: refereed > Publication in refereed journal | en_US |
dc.description.validate | 201802 bcrc | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0447 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 6794733 | - |
Appears in Collections: | Journal/Magazine Article |
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File | Description | Size | Format | |
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Huang_Characterizations_Closed-loop_Equilibrium.pdf | Pre-Published version | 687.71 kB | Adobe PDF | View/Open |
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