A Minimum Variance Result in Continuous Trading Portfolio Optimization

DOI10.1287/mnsc.35.9.1045zbMath0682.90008OpenAlexW1967495257MaRDI QIDQ4732270

Henry R. Richardson

Publication date: 1989

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.35.9.1045

zbMATH Keywords

martingalesstochastic controlportfolio optimizationfinancegeometric Brownian motionoptimal trading policyHilbert space applicationsinvestment goalvariance of discounted wealth

Mathematics Subject Classification ID

Economic growth models (91B62) Optimal stochastic control (93E20) Portfolio theory (91G10)

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