Point-to-point stochastic control of a self-financing portfolio

DOI10.3233/AF-200397zbMath1498.91399MaRDI QIDQ5106290

Masiala Mavungu

Publication date: 16 September 2022

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

zbMATH Keywords

optimal controlstochastic differential equationportfolio optimizationprofit maximizationportfolio constructionself-financing portfolioinvestment allocationfinancial risk minimization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites Work

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• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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