Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion.
Xiangyu CuiLu XuYan ZengPublished in: Optim. Lett. (2016)
Keyphrases
- portfolio optimization
- state dependent
- risk aversion
- inventory level
- markov chain
- portfolio management
- risk averse
- steady state
- portfolio selection
- stationary distribution
- utility function
- optimal policy
- factor analysis
- stock price
- problems involving
- risk management
- exchange rate
- robust optimization
- expected utility
- stock market
- state space
- queueing networks
- optimization methods
- single server
- asymptotically optimal
- transition probabilities
- bi objective
- arrival rate
- optimal control
- stock exchange
- random walk
- multi objective
- machine learning
- queue length
- dynamic programming
- independent component analysis