scientific article; zbMATH DE number 1944279

MaRDI QIDQ4407580zbMATH OpenFDO

Authors Duan Li, Fucai Qian, Peilin Fu

Publication date 10 November 2003

zbMATH Keywords

convexificationdynamic portfolio selectiondynamic programmingembedding schemefeedbackseparation schemesstochastic systemsvariance minimization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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• SQVAM: A variance minimizing algorithm
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