Constrained Monotone Mean-Variance Problem with Random Coefficients

Ying Hu; Xiaomin Shi; Zuo Quan Xu

doi:10.1137/22M154418X

Constrained Monotone Mean-Variance Problem with Random Coefficients

Ying Hu, Xiaomin Shi, Zuo Quan Xu

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

2 Citations (Scopus)

Abstract

This paper studies the monotone mean-variance problem and the classical mean-variance problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values for both problems via certain backward stochastic differential equations (BSDEs). After noting the links between these BSDEs, we find that the two problems share the same optimal portfolio and optimal value. This generalizes the result of Shen and Zou [SIAM J. Financial Math., 13 (2022), pp. SC99-SC112] from deterministic coefficients to random ones.

Original language	English
Pages (from-to)	838-854
Number of pages	17
Journal	SIAM Journal on Financial Mathematics
Volume	14
Issue number	3
DOIs	https://doi.org/10.1137/22M154418X
Publication status	Published - 30 Sept 2023

Keywords

cone constraints
monotone mean-variance
random coefficients
robust control

ASJC Scopus subject areas

Numerical Analysis
Finance
Applied Mathematics

More information

10.1137/22M154418X

Cite this

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title = "Constrained Monotone Mean-Variance Problem with Random Coefficients",

abstract = "This paper studies the monotone mean-variance problem and the classical mean-variance problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values for both problems via certain backward stochastic differential equations (BSDEs). After noting the links between these BSDEs, we find that the two problems share the same optimal portfolio and optimal value. This generalizes the result of Shen and Zou [SIAM J. Financial Math., 13 (2022), pp. SC99-SC112] from deterministic coefficients to random ones.",

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author = "Ying Hu and Xiaomin Shi and Xu, {Zuo Quan}",

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AU - Hu, Ying

AU - Shi, Xiaomin

AU - Xu, Zuo Quan

PY - 2023/9/30

Y1 - 2023/9/30

N2 - This paper studies the monotone mean-variance problem and the classical mean-variance problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values for both problems via certain backward stochastic differential equations (BSDEs). After noting the links between these BSDEs, we find that the two problems share the same optimal portfolio and optimal value. This generalizes the result of Shen and Zou [SIAM J. Financial Math., 13 (2022), pp. SC99-SC112] from deterministic coefficients to random ones.

AB - This paper studies the monotone mean-variance problem and the classical mean-variance problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values for both problems via certain backward stochastic differential equations (BSDEs). After noting the links between these BSDEs, we find that the two problems share the same optimal portfolio and optimal value. This generalizes the result of Shen and Zou [SIAM J. Financial Math., 13 (2022), pp. SC99-SC112] from deterministic coefficients to random ones.

KW - cone constraints

KW - monotone mean-variance

KW - random coefficients

KW - robust control

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EP - 854

JO - SIAM Journal on Financial Mathematics

JF - SIAM Journal on Financial Mathematics

IS - 3

ER -

Constrained Monotone Mean-Variance Problem with Random Coefficients

Abstract

Keywords

ASJC Scopus subject areas

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