In this article, a class of mean-variance portfolio selection problems with constant risk aversion is investigated by means of closed-loop equilibrium strategies. Thanks to the non-Markovian setting, two delicate kinds of equilibrium strategies are introduced and both of them obviously reduce to...

Central and local governments around the world are seeking investments from private firms tocreate smart city solutions. Motivated by this, we model an investor and a local governmentwith a Stackelberg game. The investor has a CARA (or exponential) utility function and she hasan option to...

We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...

In the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process, reflecting an investor's dynamic preference. We show that...

In this article, a class of mean-variance portfolio selection problems with constant risk aversion is investigated by means of closed-loop equilibrium strategies. Thanks to the non-Markovian setting, two delicate kinds of equilibrium strategies are introduced and both of them obviously reduce to...