Near-optimal mean–variance controls under two-time-scale formulations and applications

Author： Yang Zhixin   Yin George   Wang Le Yi   Zhang Hongwei  

Publisher： Taylor & Francis Ltd

ISSN： 1744-2508

Source： Stochastics: An International Journal of Probability and Stochastic Processes, Vol.85, Iss.4, 2013-08, pp. : 723-741

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Necessary and Sufficient Near‐Optimal Conditions for Mean‐Field Singular Stochastic Controls

By  

ASIAN JOURNAL OF CONTROL, Vol. 17, Iss. 4, 2015-07 ,pp. : 1209-1221

John Wiley & Sons Inc

Access to resources Recommend Favorite

Constructing a Mean-Variance Optimal Hedge under a Limited Investment Capital

By Bondarenko Yu. V.  

Cybernetics and Systems Analysis, Vol. 40, Iss. 2, 2004-03 ,pp. : 245-251

Springer Publishing Company

Access to resources Recommend Favorite

Mean–Variance Optimal Adaptive Execution

By Lorenz Julian   Almgren Robert  

Applied Mathematical Finance, Vol. 18, Iss. 5, 2011-11 ,pp. : 395-422

Routledge Ltd

Access to resources Recommend Favorite

On Near-Optimal Mean-Field Stochastic Singular Controls: Necessary and Sufficient Conditions for Near-Optimality

By Hafayed Mokhtar   Abbas Syed  

Journal of Optimization Theory and Applications, Vol. 160, Iss. 3, 2014-03 ,pp. : 778-808

Springer Publishing Company

Access to resources Recommend Favorite

Near-Optimal Controls of a Class of Volterra Integral Systems

By Pan L.P.   Teo K.L.  

Journal of Optimization Theory and Applications, Vol. 101, Iss. 2, 1999-05 ,pp. : 355-373

Springer Publishing Company

Access to resources Recommend Favorite