CONTINUOUS TIME MEAN-VARIANCE PORTFOLIO OPTIMIZATION THROUGH THE MEAN FIELD APPROACH

被引：17
|
作者：
Fischer, Markus [1 ]
Livieri, Giulia [2 ]
机构：
[1] Univ Padua, Dept Math, Via Trieste 63, I-35121 Padua, Italy
[2] Scuola Normale Super Pisa, Piazza Cavalieri 7, I-56126 Pisa, Italy
来源：
ESAIM-PROBABILITY AND STATISTICS | 2016年 / 20卷
关键词：
Portfolio optimization; mean-variance criterion; optimal control; time inconsistency; dynamic programming; McKean-Vlasov limit; law of large numbers; SELECTION;
D O I：
10.1051/ps/2016001
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A simple mean-variance portfolio optimization problem in continuous time is solved using the mean field approach. In this approach, the original optimal control problem, which is time inconsistent, is viewed as the McKean-Vlasov limit of a family of controlled many-component weakly interacting systems. The prelimit problems are solved by dynamic programming, and the solution to the original problem is obtained by passage to the limit.
引用
收藏
页码：30 / 44
页数：15
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