Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (Q5317138): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (4 intermediate revisions by 3 users not shown) | |||
| Property / author | |||
| Property / author: Xun Yu Zhou / rank | |||
| Property / author | |||
| Property / author: Xun Yu Zhou / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1137/s0363012904441969 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W1994712972 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 09:54, 30 July 2024
scientific article; zbMATH DE number 2205832
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection |
scientific article; zbMATH DE number 2205832 |
Statements
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (English)
0 references
15 September 2005
0 references
stochastic LQ control
0 references
extended stochastic Riccati equation
0 references
backward stochastic differential equation
0 references
mean-variance portfolio selection
0 references
efficient portfolio
0 references
efficient frontier
0 references
