Continuous time mean–variance–utility portfolio problem and its equilibrium strategy-Reference-Cited by-同舟云学术

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Continuous time mean–variance–utility portfolio problem and its equilibrium strategy

Published:2021-06-15 Issue: Volume: Page:1-29
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Yang Ben-Zhang¹,He Xin-Jiang²^ORCID,Zhu Song-Ping³^ORCID

Affiliation:

1. National Institution for Finance & Development, Chinese Academy of Social Science, Beijing, People's Republic of China

2. School of Economics, Zhejiang University of Technology, Hangzhou, People's Republic of China

3. School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, Australia

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2021.1939339

Reference39 articles.

1. Portfolio Selection

2. Dynamic programming for a Markov-switching jump–diffusion

3. Optimal Investment in Equity and VIX Derivatives

4. How should a local regime-switching model be calibrated?

5. Stability advances in robust portfolio optimization under parallelepiped uncertainty

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1. An Equilibrium Strategy for Target Benefit Pension Plans with a Longevity Trend and Partial Information;Axioms;2023-07-27

2. A game theoretical approach for finding near-optimal solutions of an optimization problem;Optimization;2022-05-06

3. Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps;Modern Stochastics: Theory and Applications;2022

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