Application of stochastic linear quadratic optimal control in portfolio selection model and hedging strategy problem

MaRDI QIDQ3538248zbMATH OpenFDO

Authors Hongjie Li, Jingjun Zhang

Publication date 24 November 2008

zbMATH Keywords

hedging strategylinear quadratic controlmartingale representation theoremportfolioRiccati equation

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• scientific article; zbMATH DE number 1642351

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(6)

• The application of model predictive control on stock portfolio optimization with prediction based on geometric Brownian motion-Kalman filter
• A nonhomogeneous mean-field linear-quadratic optimal control problem and application
• Stochastic linear quadratic portfolio selection problem for relative return process
• The optimal feedback control of linear stochastic systems and the solutions of quasi-Riccati equations
• Stochastic linear-quadratic control problem with no-shorting constraints follow jump-diffusion process
• Application of stochastic linear quadratic optimal control in portfolio selection problem

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