The analytic solution provides a great deal of convenience for linear quadratic (LQ) model in
industrial implementation. But, it usually dependents on the solution of Riccati differential …

Due to the non-separability of the variance term, the dynamic mean–variance (MV) portfolio
optimization problem is inherently difficult to solve by dynamic programming. Li and Ng …

This paper studies a class of continuous-time scalar-state stochastic Linear–Quadratic (LQ)
optimal control problems with the linear control constraints. Using the state separation …

This paper addresses an uncertain nonlinear control system problem with complex state
constraints and mismatched uncertainties. A novel Gaussian Mixture Model (GMM) based …

Recognizing the importance of incorporating different risk measures in the portfolio
management model, this paper examines the dynamic mean-risk portfolio optimization …

This study addresses limited attention allocation in a stochastic linear quadratic system with
multiplicative noise. Our approach enables strategic resource allocation to enhance noise …

This paper studies the multi-period mean-variance (MV) asset-liability portfolio management
problem (MVAL), in which the portfolio is constructed by risky assets and liability. It is worth …

In this article, we consider the misspecified optimization problem of minimizing a convex
function in over a conic constraint set represented by, where is an unknown (or misspecified) …

This paper considers a multi-agent optimal investment problem with conservative sentiments
in an incomplete market by a BSDE approach. Particularly, we formulate the conservative …

Investors are increasingly interested in incorporating environmental, social, and governance
(ESG) considerations into their investment process. However, most studies on incorporating …