Multiperiod mean-variance portfolio optimization via market cloning (Q647502): Difference between revisions

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+Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control
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@@ Property / cites work @@
+A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
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@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Stochastic optimal control. The discrete time case
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+.1007/S00245-011-9134-0
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