Application of stochastic linear quadratic optimal control in portfolio selection model and hedging strategy problem (Q3538248)
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scientific article; zbMATH DE number 5371340
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| English | Application of stochastic linear quadratic optimal control in portfolio selection model and hedging strategy problem |
scientific article; zbMATH DE number 5371340 |
Statements
24 November 2008
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linear quadratic control
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portfolio
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Riccati equation
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hedging strategy
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martingale representation theorem
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0.941257119178772
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0.8537139296531677
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0.8510739803314209
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0.8300063014030457
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