Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences - Stochastic Factor Case

We consider an incomplete market with a nontradable stochastic factor and a continuous-time investment problem with an optimality criterion based on monotone mean-variance preferences. We formulate...

[1]  Robert J. Elliott,et al.  On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy , 2010, Ann. Oper. Res..

[2]  Alexander Schied,et al.  Convex measures of risk and trading constraints , 2002, Finance Stochastics.

[3]  R. Elliott,et al.  Portfolio risk minimization and differential games , 2009 .

[4]  Robert J. Elliott,et al.  A BSDE approach to a risk-based optimal investment of an insurer , 2011, Autom..

[5]  Huyên Pham,et al.  Dynamic programming and mean-variance hedging , 1999, Finance Stochastics.

[6]  D. Heath,et al.  Martingales versus PDEs in finance: an equivalence result with examples , 2000, Journal of Applied Probability.

[7]  Massimo Marinacci,et al.  PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES , 2009 .

[8]  D. Hernández-Hernández,et al.  A control approach to robust utility maximization with logarithmic utility and time-consistent penalties , 2007 .

[9]  B. Øksendal,et al.  Risk minimizing portfolios and HJBI equations for stochastic differential games , 2008 .

[10]  R. Elliott,et al.  Risk-based indifference pricing under a stochastic volatility model , 2010 .

[11]  Peter A. Forsyth,et al.  Dynamic mean variance asset allocation: Tests for robustness , 2017 .

[12]  M. Schweizer,et al.  A Stochastic Control Approach to a Robust Utility Maximization Problem , 2007 .

[13]  Dariusz Zawisza.  Target achieving portfolio under model misspecification: quadratic optimization framework , 2012 .

[14]  M. Frittelli,et al.  Putting order in risk measures , 2002 .

[15]  Bernt Øksendal,et al.  Forward–Backward Stochastic Differential Games and Stochastic Control under Model Uncertainty , 2014, J. Optim. Theory Appl..