Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems

@article{Huang2017CharacterizationsOC,
  title={Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems},
  author={Jianhui Huang and Xun Li and Tianxiao Wang},
  journal={Systems & Control Letters},
  year={2017},
  volume={110},
  pages={15-20}
}
Herein, we study the dynamic mean–variance portfolio optimization problems with deterministic coefficients. An intrinsic characterization of closed-loop equilibrium solutions is obtained for the first time. Our approach proposed here not only essentially differs from that in existing literature, but also avoids conventional complicated convergence arguments… CONTINUE READING