A Minimum Variance Result in Continuous Trading Portfolio Optimization
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Publication:4732270
DOI10.1287/mnsc.35.9.1045zbMath0682.90008MaRDI QIDQ4732270
Publication date: 1989
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.35.9.1045
martingales; stochastic control; portfolio optimization; finance; geometric Brownian motion; optimal trading policy; Hilbert space applications; investment goal; variance of discounted wealth
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