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Relationship between backward and forward linear-quadratic mean-field-game with terminal constraint and optimal asset allocation for insurers and pension funds.
Kai Du
Jianhui Huang
Zhen Wu
Published in:
Int. J. Control (2021)
Keyphrases
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linear quadratic
optimal control
asset allocation
dynamic programming
vector valued
optimal strategy
optimal portfolio
optimal solution
portfolio management
multi objective
markov random field
monte carlo
dynamical systems
closed loop
gaussian model
portfolio selection