A linear quadratic control for discrete systems with random parameters and multiplicative noise and its application to investment portfolio optimization
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Publication:1779092
DOI10.1023/A:1026057305653zbMath1061.93097OpenAlexW1567860938MaRDI QIDQ1779092
E. A. Lyashenko, V. V. Dombrovskii
Publication date: 31 May 2005
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1026057305653
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Methods of successive quadratic programming type (90C55) Portfolio theory (91G10)
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