English

Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection

Optimization and Control 2020-09-10 v2 Mathematical Finance

Abstract

In this paper we study a class of time-inconsistent terminal Markovian control problems in discrete time subject to model uncertainty. We combine the concept of the sub-game perfect strategies with the adaptive robust stochastic to tackle the theoretical aspects of the considered stochastic control problem. Consequently, as an important application of the theoretical results, by applying a machine learning algorithm we solve numerically the mean-variance portfolio selection problem under the model uncertainty.

Keywords

Cite

@article{arxiv.2002.02604,
  title  = {Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection},
  author = {Tomasz R. Bielecki and Tao Chen and Igor Cialenco},
  journal= {arXiv preprint arXiv:2002.02604},
  year   = {2020}
}

Comments

22 pages, 4 figures

R2 v1 2026-06-23T13:33:50.222Z