Cone-constrained continuous-time Markowitz problems

DOI10.1214/12-AAP855zbMath1268.91162arXiv1206.0243MaRDI QIDQ1948703

Christoph Czichowsky, Martin Schweizer

Publication date: 24 April 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.0243

zbMATH Keywords

stochastic control; semimartingales; backward stochastic differential equations; portfolio selection; linear-quadratic control; mean-variance hedging; cone constraints; Markowitz problem; \(\varepsilon\)-martingales; martingale optimality principle; opportunity process

Mathematics Subject Classification ID

60G48: Generalizations of martingales

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems

91G80: Financial applications of other theories

91G10: Portfolio theory

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