Optimal control of the portfolio
From MaRDI portal
Publication:1778541
DOI10.1023/A:1011651827296zbMath1089.91502MaRDI QIDQ1778541
A. I. Kibzun, Evgeny A. Kuznetsov
Publication date: 17 June 2005
Published in: Automation and Remote Control (Search for Journal in Brave)
Related Items (8)
Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function ⋮ Bilateral estimation of the Bellman function in the problems of optimal stochastic control of discrete systems by the probabilistic performance criterion ⋮ Quantile criterion-based control of the securities portfolio with a nonzero ruin probability ⋮ Safety-first portfolio selection ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion ⋮ The two-step problem of investment portfolio selection from two risk assets via the probability criterion ⋮ Reduction of the two-step problem of stochastic optimal control with bilinear model to the problem of mixed integer linear programming ⋮ Refined estimation of the Bellman function for stochastic optimal control problems with probabilistic performance criterion
This page was built for publication: Optimal control of the portfolio