scientific article; zbMATH DE number 1944278

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Publication:4407579

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zbMath1050.91055MaRDI QIDQ4407579

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Publication date: 2003

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zbMATH Keywords

mean-variance portfolio selection stochastic linear-quadratic control

Mathematics Subject Classification ID

Stochastic systems and control (93E99)

Related Items (3)

Stochastic optimality in the portfolio tracking problem involving investor's temporal preferences ⋮ Simplified mean-variance portfolio optimisation ⋮ Continuous-time mean-variance portfolio selection with random horizon

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