Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (Q5317138)
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scientific article; zbMATH DE number 2205832
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| 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)
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15 September 2005
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stochastic LQ control
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extended stochastic Riccati equation
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backward stochastic differential equation
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mean-variance portfolio selection
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efficient portfolio
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efficient frontier
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0.9269514083862304
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0.8918388485908508
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0.873270571231842
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