Application of stochastic linear quadratic optimal control in portfolio selection problem (Q3501479)
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scientific article; zbMATH DE number 5284198
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| English | Application of stochastic linear quadratic optimal control in portfolio selection problem |
scientific article; zbMATH DE number 5284198 |
Statements
3 June 2008
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linear quadratic control
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mean-variance
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portfolio
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stochastic Riccati equation
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0.941257119178772
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0.8486380577087402
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0.8460924625396729
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