Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection

doi:10.1109/TAC.2019.2931463

CSpace

	Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
	Ni, Yuan-Hua 1; Li, Xun 2; Zhang, Ji-Feng 3,4; Krstic, Miroslav 5
	2020-04-01
发表期刊	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
ISSN	0018-9286
卷号	65 期号:4 页码:1716-1723
摘要	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.
关键词	Portfolios Optimal control Nickel Covariance matrices Optimization Indexes Multiperiod mean-variance portfolio selection stochastic linear-quadratic (LQ) control time inconsistency
DOI	10.1109/TAC.2019.2931463
收录类别	SCI
语种	英语
资助项目	National Key R&D Program of China[2018YFA0703800] ; National Natural Science Foundation of China[61877057] ; National Natural Science Foundation of China[61773222] ; Hong Kong RGC[15224215] ; Hong Kong RGC[15255416]
WOS研究方向	Automation & Control Systems ; Engineering
WOS类目	Automation & Control Systems ; Engineering, Electrical & Electronic
WOS记录号	WOS:000522918700031
出版者	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51026
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Ji-Feng
作者单位	1.Nankai Univ, Coll Artificial Intelligence, Tianjin 300350, Peoples R China 2.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 5.Univ Calif San Diego, Dept Mech & Aerosp Engn, San Diego, CA 92093 USA
推荐引用方式 GB/T 7714	Ni, Yuan-Hua,Li, Xun,Zhang, Ji-Feng,et al. Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection[J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL,2020,65(4):1716-1723.
APA	Ni, Yuan-Hua,Li, Xun,Zhang, Ji-Feng,&Krstic, Miroslav.(2020).Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection.IEEE TRANSACTIONS ON AUTOMATIC CONTROL,65(4),1716-1723.
MLA	Ni, Yuan-Hua,et al."Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection".IEEE TRANSACTIONS ON AUTOMATIC CONTROL 65.4(2020):1716-1723.