Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/73762
PIRA download icon_1.1View/Download Full Text
DC FieldValueLanguage
dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorHuang, Jen_US
dc.creatorLi, Xen_US
dc.creatorWang, Ten_US
dc.date.accessioned2018-03-29T07:15:16Z-
dc.date.available2018-03-29T07:15:16Z-
dc.identifier.issn0167-6911en_US
dc.identifier.urihttp://hdl.handle.net/10397/73762-
dc.language.isoenen_US
dc.publisherElsevieren_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.rightsThe 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.2017.09.008en_US
dc.subjectClosed-loop equilibrium solutionsen_US
dc.subjectDynamic mean–variance portfolio optimizationen_US
dc.subjectStochastic linear quadratic problemsen_US
dc.subjectTime-inconsistencyen_US
dc.titleCharacterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problemsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage15en_US
dc.identifier.epage20en_US
dc.identifier.volume110en_US
dc.identifier.doi10.1016/j.sysconle.2017.09.008en_US
dcterms.abstractHerein, 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.accessRightsopen accessen_US
dcterms.bibliographicCitationSystems and control letters, Dec. 2017, v. 110, p. 15-20en_US
dcterms.isPartOfSystems and control lettersen_US
dcterms.issued2017-12-
dc.identifier.scopus2-s2.0-85032833788-
dc.identifier.rosgroupid2017000107-
dc.description.ros2017-2018 > Academic research: refereed > Publication in refereed journalen_US
dc.description.validate201802 bcrcen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberAMA-0447-
dc.description.fundingSourceRGCen_US
dc.description.pubStatusPublisheden_US
dc.identifier.OPUS6794733-
dc.description.oaCategoryGreen (AAM)en_US
Appears in Collections:Journal/Magazine Article
Files in This Item:
File Description SizeFormat 
Huang_Characterizations_Closed-loop_Equilibrium.pdfPre-Published version687.71 kBAdobe PDFView/Open
Open Access Information
Status open access
File Version Final Accepted Manuscript
Access
View full-text via PolyU eLinks SFX Query
Show simple item record

Page views

180
Last Week
0
Last month
Citations as of Apr 14, 2025

Downloads

100
Citations as of Apr 14, 2025

SCOPUSTM   
Citations

11
Last Week
0
Last month
Citations as of May 8, 2025

WEB OF SCIENCETM
Citations

11
Last Week
0
Last month
Citations as of Oct 10, 2024

Google ScholarTM

Check

Altmetric


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.