A note on numerical methods for mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model-Reference-Cited by-同舟云学术

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A note on numerical methods for mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model

Published:2024 Issue:0 Volume:0 Page:0-0
ISSN:2155-3289
Container-title:Numerical Algebra, Control and Optimization
language:
Short-container-title:NACO

Author:

Zhang Yu,Jin Zhuo¹,Wei Jiaqin²

Affiliation:

1. Department of Actuarial Studies and Business Analytics, Macquarie University, 2109, NSW, Australia

2. Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, Shanghai 200062, China

Publisher

American Institute of Mathematical Sciences (AIMS)

Reference44 articles.

1. Dynamic Attention Behavior Under Return Predictability

T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochastic control problems, Available at SSRN 1694759, 2010.

3. A theory of Markovian time-inconsistent stochastic control in discrete time

4. On time-inconsistent stochastic control in continuous time

R. Carmona and M. Laurière, Deep learning for mean field games and mean field control with applications to fiance, preprint, 2021, arXiv: 2107.04568.

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