scientific article; zbMATH DE number 5845882

DOI10.3969/J.ISSN.0253-374X.2009.12.025MaRDI QIDQ3072843zbMATH OpenFDO

Authors Jinghao Zhu, Bin Liu

Publication date 5 February 2011

zbMATH Keywords

optimal portfolioRiccati equationstochastic LQR problem

Mathematics Subject Classification ID

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

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