Optimal portfolio selection and compression in an incomplete market

DOI10.1088/1469-7688/1/3/305zbMath1405.91548arXivmath/0207260OpenAlexW2113000836MaRDI QIDQ4646491

Ulrich G. Haussmann, Nikolai G. Dokuchaev

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0207260

zbMATH Keywords

incomplete marketoptimal portfolio selectionportfolio compression

Mathematics Subject Classification ID

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

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