49 citations · 52 across the 8 of their papers we have counts for
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q-fin.PM2013
Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection
Xiangyu Cui, Xun Li, Duan Li
The classical dynamic programming-based optimal stochastic control methods fail to cope with nonseparable dynamic optimization problems as the principle of optimality no longer app…
q-fin.PM2013
Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters
Wan-Kai Pang, Yuan-Hua Ni, Xun Li +1
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimi…