Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
| Year of publication: |
2021
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|---|---|
| Authors: | Bielecki, Tomasz R. ; Chen, Tao ; Cialenco, Igor |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 24.2021, 1, p. 1-28
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| Subject: | Adaptive robust control | model uncertainty | stochastic control | adaptiverobust dynamic programming | recursive confidence regions | time-inconsistent Markoviancontrol problem | optimal portfolio allocation | mean-variance portfolio selection | terminalcriteria | machine learning | Gaussian surrogate processes | regression Monte Carlo | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Entscheidung unter Unsicherheit | Decision under uncertainty | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024921500035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012650186