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