Stochastic linear quadratic portfolio selection problem for relative return process (Q2898609)
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scientific article; zbMATH DE number 6054622
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| default for all languages | No label defined |
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| English | Stochastic linear quadratic portfolio selection problem for relative return process |
scientific article; zbMATH DE number 6054622 |
Statements
11 July 2012
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HJB equation
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benchmark process
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relative return process
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Stochastic linear quadratic portfolio selection problem for relative return process (English)
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0.8161039352416992
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0.8092671632766724
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0.7931421399116516
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0.7852464318275452
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