This is a companion paper of [Mixed equilibrium solution of time-inconsistent stochastic linear-quadratic problem, SIAM J. Control Optim., vol. 57, no. 1, 533-569, 2019], where general theory has been established to characterize the open-loop equilibrium control, feedback equilibrium strategy and mixed equilibrium solution for a time-inconsistent stochastic linear-quadratic problem. This note is, on the one hand, to test the developed theory of that paper and on the other hand to push the solvability of multiperiod mean-variance portfolio selection. A nondegenerate assumption, which is popular in the existing literature about multiperiod mean-variance portfolio selection, has been removed in this note; and neat conditions have been obtained to characterize the existence of equilibrium solutions.

中文翻译：

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多周期均值-方差投资组合选择的均衡解


这是[时间不一致随机线性二次问题的混合平衡解，SIAM J. Control Optim.，卷。 57、没有。 1, 533-569, 2019]，其中建立了一般理论来描述时间不一致随机线性二次问题的开环平衡控制、反馈平衡策略和混合平衡解。这篇文章一方面是为了测试该论文所发展的理论，另一方面是为了推动多时期均值方差投资组合选择的可解决性。本说明中删除了有关多周期均值方差投资组合选择的现有文献中流行的非简并假设；并获得了表征平衡解存在性的简洁条件。