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This paper concerns a mean–variance portfolio selection problem in a complete market with unbounded random coefficients. In particular, we use adapted processes to model market coefficients, and assume that only the interest rate is bounded, while the appreciation rate, volatility and market price of risk are unbounded. Under an exponential integrability assumption of the market price of risk process,...
This paper investigates a stochastic optimal control problem with delay and of mean-field type, where the controlled state process is governed by a mean-field jump–diffusion stochastic delay differential equation. Two sufficient maximum principles and one necessary maximum principle are established for the underlying system. As an application, a bicriteria mean–variance portfolio selection problem...
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