Robust state-dependent mean–variance portfolio selection : a closed-loop approach

• Main Authors: Han, Bingyan, Pun, Chi Seng, Wong, Hoi Ying
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Closed-Loop Control; State-Dependence
• Online Access: https://hdl.handle.net/10356/155833
• Institution: Nanyang Technological University

This paper studies a class of robust mean–variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor’s uncertainty-averse preference. To characterise the r...