The objective of the continuous time mean-variance model is to minimize variance (risk) an investment portfolio with a given mean at terminal time. However, investor can stop plan any before To solve this problem, we consider variances in multi-time state. advantage state minimization risk within period. obtain optimal strategy model, introduce sequence Riccati equations, which are connected by...

In the context of simple finite-state discrete time systems, we introduce a generalization mean field game solution, called correlated which can be seen as analogue equilibrium. Our notion solution is justified in two ways: prove that solutions arise limits exchangeable equilibria restricted (Markov open-loop) strategies for underlying N-player games, and show how to construct approximate start...