Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (Q5317138)
From MaRDI portal
scientific article; zbMATH DE number 2205832
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection |
scientific article; zbMATH DE number 2205832 |
Statements
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (English)
0 references
15 September 2005
0 references
stochastic LQ control
0 references
extended stochastic Riccati equation
0 references
backward stochastic differential equation
0 references
mean-variance portfolio selection
0 references
efficient portfolio
0 references
efficient frontier
0 references
