Application of stochastic linear quadratic optimal control in portfolio selection problem

MaRDI QIDQ3501479zbMATH OpenFDO

Authors Hongjie Li, Xiaochun Yang

Publication date 3 June 2008

zbMATH Keywords

linear quadratic controlmean-varianceportfoliostochastic Riccati equation

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(5)

• A nonhomogeneous mean-field linear-quadratic optimal control problem and application
• Stochastic linear quadratic portfolio selection problem for relative return process
• The optimal feedback control of linear stochastic systems and the solutions of quasi-Riccati equations
• Application of stochastic linear quadratic optimal control in portfolio selection model and hedging strategy problem
• A numerical method for solving stochastic linear quadratic problem with a finance application

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