Since the pioneering work of Harry Markowitz, mean–variance portfolio selection model has
been widely used in both theoretical and empirical studies, which maximizes the investment …

This article presents a neurodynamic approach to nonlinear programming. Motivated by the
idea of sequential quadratic programming, a class of two-timescale multilayer recurrent …

This paper studies a generalized multi-period mean–variance portfolio selection problem
within the game theoretic framework for a defined-contribution pension scheme member …

In this paper, we consider the two-player linear–quadratic mean field stochastic differential
game (LQ-MF-SZSDG), where the expected values of state and players' control variables …

An optimal control problem is studied for a linear mean-field stochastic differential equation
with a quadratic cost functional. The coefficients and the weighting matrices in the cost …

In this study, we discuss multi-period portfolio selection problems when security returns are
described as fuzzy random variables. The main concern of this work is to apply dynamic risk …

The mean-variance model formulated by Markowitz for a single period serves as a
fundamental method of modern portfolio selection. In this study, we consider a multi-period …

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

Using a multi-period mean-variance model, we investigate an asset-liability portfolio
management problem with probability constraints, where an investor intends to control the …

We consider the risk‐sensitive optimal control problem for mean‐field type Markov regime‐
switching jump‐diffusion systems driven by Brownian motions and Poisson jumps with …