论文标题
在模型不确定性下，将均值变化投资组合选择应用于模型不确定性下的时间不一致
Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
论文作者
论文摘要
在本文中，我们研究了离散时间中的一类时间 - 不一致的终端马尔可夫控制问题，但受模型不确定性的约束。我们将子游戏完美策略的概念与自适应的健壮随机性结合在一起，以解决被考虑的随机控制问题的理论方面。因此，作为理论结果的重要应用，通过应用机器学习算法，我们在数值上求解模型不确定性下的均值变化投资组合选择问题。
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.
