KMS Of Academy of mathematics and systems sciences, CAS
| Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection | |
| Ni, Yuan-Hua1; Li, Xun2; Zhang, Ji-Feng3,4; Krstic, Miroslav5 | |
| 2020-04-01 | |
| Source Publication | IEEE TRANSACTIONS ON AUTOMATIC CONTROL
 |
| ISSN | 0018-9286 |
| Volume | 65Issue:4Pages: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. |
| Keyword | 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 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | 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 Research Area | Automation & Control Systems ; Engineering |
| WOS Subject | Automation & Control Systems ; Engineering, Electrical & Electronic |
| WOS ID | WOS:000522918700031 |
| Publisher | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/51026 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhang, Ji-Feng |
| Affiliation | 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 |
| Recommended Citation 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. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment