{
  "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.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2610.18398",
  "author_total": 3,
  "authors": [
    {
      "name": "Yijie Zeng"
    },
    {
      "name": "Liangquan Zhang"
    },
    {
      "name": "Xun Li"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/16jqvcxzs7vgm.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2610.18398",
  "fulltext_url": null,
  "id": "16jqvcxzs7vgm",
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  "landing_url": "https://arxiv.org/abs/2610.18398",
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  "licence_label": "arXiv licence",
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  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.OC"
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    [
      "openalex",
      "2003|Stochastic processes and financial applications"
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  "openalex": "W7221808578",
  "pdf_url": "https://arxiv.org/pdf/2610.18398",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-13",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/16jqvcxzs7vgm.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:29:20Z",
      "native_id": "2610.18398",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2610.18398"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.OC",
      "subfield": "optimisation-control"
    }
  ],
  "title": "Optimal Transport for Continuous-Time Mean-Variance Portfolio Selection",
  "title_text": "Optimal Transport for Continuous-Time Mean-Variance Portfolio Selection",
  "type": "preprint",
  "updated_at": "2026-10-30T12:29:20Z",
  "url": "https://research.draconitic.com/paper/16jqvcxzs7vgm",
  "venue": "arXiv",
  "versions": []
}