scientific article; zbMATH DE number 5845882

DOI10.3969/J.ISSN.0253-374X.2009.12.025zbMATH Open1224.91146MaRDI QIDQ3072843FDOQ3072843

Authors: Jinghao Zhu, Bin Liu 

Publication date: 5 February 2011

Title of this publication is not available (Why is that?)

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zbMATH Keywords

optimal portfolioRiccati equationstochastic LQR problem

Mathematics Subject Classification ID

Portfolio theory (91G10) Feedback control (93B52) Optimal stochastic control (93E20)

Cited In (7)

• Title not available (Why is that?)
• Portfolio with optimal extension
• Title not available (Why is that?)
• Semimartingale theory of monotone mean–variance portfolio allocation
• The optimal analytical solution to a portfolio model for uncorrelated assets
• On approximate solution of the problem of formation of the fixed-income portfolio of securities
• A new optimal variable iterative algorithm to solve the mathematical model of portfolio theory

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