Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets

By Yue Cao, Zongxia Liang, Sheng Wang, Xiang Yu

Published 2025-12-01

Everscope rating

1763.9

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Perturbation and Calculus of Variation with Coupled Quadratic BSDE Systems. Problem types: Portfolio Optimization, Risk Management, Optimization, Stochastic Control, Time-Inconsistent Decision Making.

arXiv:2511.05861 · Paper rankings

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