Characterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problems

Jianhui Huang; Xun Li; Tianxiao Wang

doi:10.1016/j.sysconle.2017.09.008

Characterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problems

Jianhui Huang, Xun Li, Tianxiao Wang

Research output: Journal article publication › Journal article › Academic research › peer-review

10 Citations (Scopus)

Abstract

Herein, we study the dynamic mean–variance portfolio optimization problems with deterministic coefficients. An intrinsic characterization of closed-loop equilibrium solutions is obtained for the first time. Our approach proposed here not only essentially differs from that in existing literature, but also avoids conventional complicated convergence arguments. Applying the characterization obtained, we prove that this optimization problem actually admits unique closed-loop equilibrium solution.

Original language	English
Pages (from-to)	15-20
Number of pages	6
Journal	Systems and Control Letters
Volume	110
DOIs	https://doi.org/10.1016/j.sysconle.2017.09.008
Publication status	Published - 1 Dec 2017

Keywords

Closed-loop equilibrium solutions
Dynamic mean–variance portfolio optimization
Stochastic linear quadratic problems
Time-inconsistency

ASJC Scopus subject areas

Control and Systems Engineering
General Computer Science
Mechanical Engineering
Electrical and Electronic Engineering

More information

10.1016/j.sysconle.2017.09.008

http://hdl.handle.net/10397/73762

Cite this

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title = "Characterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problems",

abstract = "Herein, we study the dynamic mean–variance portfolio optimization problems with deterministic coefficients. An intrinsic characterization of closed-loop equilibrium solutions is obtained for the first time. Our approach proposed here not only essentially differs from that in existing literature, but also avoids conventional complicated convergence arguments. Applying the characterization obtained, we prove that this optimization problem actually admits unique closed-loop equilibrium solution.",

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author = "Jianhui Huang and Xun Li and Tianxiao Wang",

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AU - Huang, Jianhui

AU - Li, Xun

AU - Wang, Tianxiao

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N2 - Herein, we study the dynamic mean–variance portfolio optimization problems with deterministic coefficients. An intrinsic characterization of closed-loop equilibrium solutions is obtained for the first time. Our approach proposed here not only essentially differs from that in existing literature, but also avoids conventional complicated convergence arguments. Applying the characterization obtained, we prove that this optimization problem actually admits unique closed-loop equilibrium solution.

AB - Herein, we study the dynamic mean–variance portfolio optimization problems with deterministic coefficients. An intrinsic characterization of closed-loop equilibrium solutions is obtained for the first time. Our approach proposed here not only essentially differs from that in existing literature, but also avoids conventional complicated convergence arguments. Applying the characterization obtained, we prove that this optimization problem actually admits unique closed-loop equilibrium solution.

KW - Closed-loop equilibrium solutions

KW - Dynamic mean–variance portfolio optimization

KW - Stochastic linear quadratic problems

KW - Time-inconsistency

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U2 - 10.1016/j.sysconle.2017.09.008

DO - 10.1016/j.sysconle.2017.09.008

M3 - Journal article

SN - 0167-6911

VL - 110

SP - 15

EP - 20

JO - Systems and Control Letters

JF - Systems and Control Letters

ER -

Characterizations of closed-loop equilibrium solutions for dynamic mean–variance optimization problems

Abstract

Keywords

ASJC Scopus subject areas

More information

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