Portfolio optimization with random parameters and stochastic cash flow for quadratic utility maximization

MaRDI QIDQ2886646zbMATH OpenFDO

Authors Hao Chang, Ximin Rong

Publication date 1 June 2012

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

zbMATH Keywords

optimal portfoliorandom parametersstochastic cash flowquadratic utility maximization

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Optimal stochastic control (93E20)

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(9)

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• On the equivalence of quadratic optimization problems commonly used in portfolio theory
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