Quadratic minimization with portfolio and terminal wealth constraints

DOI10.1007/s10436-014-0254-9zbMath1315.91077OpenAlexW2048265429MaRDI QIDQ2351638

Andrew J. Heunis

Publication date: 26 June 2015

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-014-0254-9

zbMATH Keywords

Lagrange multiplierstochastic controlportfolio optimizationconstraintsconjugate dualitySlater condition

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items

Quadratic minimization with portfolio and intertemporal wealth constraints, Optimal investment in multidimensional Markov-modulated affine models, Regularity of multipliers for multiobjective optimal control problems governed by evolution equations, Continuous-time Markowitz's model with constraints on wealth and portfolio, Quadratic Hedging with Mixed State and Control Constraints, A stochastic maximum principle for linear quadratic problem with nonconvex control domain, A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim

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