Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise (Q5323281): Difference between revisions

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scientific article; zbMATH DE number 5585808

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English	Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise	scientific article; zbMATH DE number 5585808

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instance of

scholarly article

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title

Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise (English)

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zbMATH Open document ID

1168.93023

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DOI

10.1080/00207170802050825

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International Journal of Control

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publication date

23 July 2009

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Mathematics Subject Classification ID

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mean variance control

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Markov jump systems

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multiplicative noise

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stochastic optimal control

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207170802050825

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OpenAlex ID

W2033947719

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cites work

Discrete-time indefinite LQ control with state and control dependent noises

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Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls

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Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations

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Delay-dependent stabilization of singularly perturbed jump linear systems

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Portfolio optimization in stochastic markets

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Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

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A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

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Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems

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Multiperiod mean-variance optimization with intertemporal restrictions

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Observability and detectability of a class of discrete-time stochastic linear systems

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A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization

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State and Mode Estimation for Discrete-Time Jump Markov Systems

0 references

Multi-period minimax hedging strategies

0 references

A robust hedging algorithm

0 references

A geometric approach to multiperiod mean variance optimization of assets and liabilities

0 references

Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon

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Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights

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Robust min-max portfolio strategies for rival forecast and risk scenarios

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Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

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Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem

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Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

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Sitelinks

Mathematics(1 entry)

mardi Publication:5323281

@@ Property / cites work @@
+Discrete-time indefinite LQ control with state and control dependent noises
+Normal rank
@@ Property / cites work @@
+Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
+Normal rank
@@ Property / cites work @@
+Discrete-time optimal control with control-dependent noise and generalized Riccati difference equations
+Normal rank
@@ Property / cites work @@
+Delay-dependent stabilization of singularly perturbed jump linear systems
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in stochastic markets
@@ Property / cites work: Portfolio optimization in stochastic markets / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
+Normal rank
@@ Property / cites work @@
+A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
+Normal rank
@@ Property / cites work @@
+Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
+Normal rank
@@ Property / cites work @@
+Multiperiod mean-variance optimization with intertemporal restrictions
+Normal rank
@@ Property / cites work @@
+Observability and detectability of a class of discrete-time stochastic linear systems
+Normal rank
@@ Property / cites work @@
+A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
+Normal rank
@@ Property / cites work @@
+State and Mode Estimation for Discrete-Time Jump Markov Systems
+Normal rank
@@ Property / cites work @@
+Multi-period minimax hedging strategies
@@ Property / cites work: Multi-period minimax hedging strategies / rank @@
+Normal rank
@@ Property / cites work @@
+A robust hedging algorithm
@@ Property / cites work: A robust hedging algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Indefinite stochastic linear quadratic control with Markovian jumps in infinite time horizon
+Normal rank
@@ Property / cites work @@
+Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights
+Normal rank
@@ Property / cites work @@
+Robust min-max portfolio strategies for rival forecast and risk scenarios
+Normal rank
@@ Property / cites work @@
+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
+Normal rank
@@ Property / cites work @@
+Characterizing all optimal controls for an indefinite stochastic linear quadratic control problem
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank