Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility.
Tingjin YanHoi Ying WongPublished in: Autom. (2019)
Keyphrases
- open loop
- investment strategies
- closed loop
- portfolio selection
- feedback control
- control system
- portfolio optimization
- stock market
- stock price
- financial markets
- efficient frontier
- decision making
- inverted pendulum
- lagrange multipliers
- game theory
- stock exchange
- stability analysis
- adaptive control
- monte carlo
- rough sets
- computational complexity
- reinforcement learning