Abstract
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.
| Original language | English |
|---|---|
| Article number | 8777161 |
| Pages (from-to) | 1716-1723 |
| Number of pages | 8 |
| Journal | IEEE Transactions on Automatic Control |
| Volume | 65 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Apr 2020 |
Keywords
- Multiperiod mean-variance portfolio selection
- stochastic linear-quadratic (LQ) control
- time inconsistency
ASJC Scopus subject areas
- Control and Systems Engineering
- Computer Science Applications
- Electrical and Electronic Engineering