4 papers
A Computable Stochastic Riccati Equations Framework for Mean--Variance Portfolio Selection with Multifactor Stochastic Volatility Model
Zhecheng Huang, Guojiang Shao, Lei Wang +1
We investigate a computable and empirically implementable framework for continuous-time mean--variance optimal portfolio selection with random market coefficients. The market model…
Stochastic LQ Optimal Control with Random Coefficients and a Terminal Mean-Field Cost
Guojiang Shao, Zuo Quan Xu, Qi Zhang
This paper investigates a multidimensional non-homogeneous stochastic linear-quadratic optimal control problem featuring random coefficients and a terminal mean-field term in the c…
The Ergodic Linear-Quadratic Optimal Control Problems with Random Periodic Coefficients
Jiacheng Wu, Qi Zhang
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems with random periodic coefficients. We put forward the random periodic mean-square e…
The Ergodic Linear-Quadratic Optimal Control Problems for Stochastic Mean-Field Systems with Periodic Coefficients
Jiacheng Wu, Qi Zhang
In this paper, we concern with the ergodic linear-quadratic closed-loop optimal control problems, in which the state equation is the mean-field stochastic differential equation wit…