Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
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
|
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 | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming | Entscheidung unter Unsicherheit | Decision under uncertainty | Dynamische Optimierung | Dynamic programming | Robustes Verfahren | Robust statistics |
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