Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
文献类型：期刊论文
| 作者 | Ni, Yuan-Hua2; Li, Xun3; Zhang, Ji-Feng4,5; Krstic, Miroslav1 |
| 刊名 | IEEE TRANSACTIONS ON AUTOMATIC CONTROL
 |
| 出版日期 | 2020-04-01 |
| 卷号 | 65期号:4页码:1716-1723 |
| 关键词 | Portfolios Optimal control Nickel Covariance matrices Optimization Indexes Multiperiod mean-variance portfolio selection stochastic linear-quadratic (LQ) control time inconsistency |
| ISSN号 | 0018-9286 |
| DOI | 10.1109/TAC.2019.2931463 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000522918700031 |
| 出版者 | IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51025]  |
| 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.Univ Calif San Diego, Dept Mech & Aerosp Engn, San Diego, CA 92093 USA 2.Nankai Univ, Coll Artificial Intelligence, Tianjin 300350, Peoples R China 3.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 5.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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