Year: 2026
Type: preprint
Abstract: The continuous-time mean-variance portfolio selection problem is investigated in this paper through a rigorous integration of backward stochastic differential equation (BSDE) and Kantorovich duality theory. We propose a novel analytical framework for addressing feedback control in McKean-Vlasov stochastic systems. By solving three coupled systems of ordinary differential equations (ODEs), we derive an explicit, closed-loop optimal feedback investment strategy.
Source: arXiv (Cornell University)
Authors: Zeng, Yijie, Zhang, Liangquan, Li, Xun
Institutions: Hong Kong Polytechnic University, Renmin University of China
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7221808578