Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
From MaRDI portal
Publication:5317138
Recommendations
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- scientific article; zbMATH DE number 1642351
- Constrained LQ problem with a random jump and application to portfolio selection
- Constrained stochastic LQ control on infinite time horizon with regime switching
- Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
Cited In (65)
- Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
- Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- Stochastic LQ control with extra measurability restriction
- Constrained Monotone Mean-Variance Problem with Random Coefficients
- Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach
- Mean-variance portfolio selection under no-shorting rules: a BSDE approach
- Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
- Energy-based stochastic control of neural mass models suggests time-varying effective connectivity in the resting state
- Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
- Infinite horizon Stackelberg differential games with random coefficients under control input constraint
- A unified approach to linear-quadratic-Gaussian mean-field team: homogeneity, heterogeneity and quasi-exchangeability
- Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
- Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- On continuous-time constrained stochastic linear-quadratic control
- Global solutions of stochastic Stackelberg differential games under convex control constraint
- Mixed optimal control for discrete-time stochastic systems with random coefficients
- Mean-variance portfolio selection of cointegrated assets
- Constrained LQ problem with a random jump and application to portfolio selection
- Harmonic analysis of stochastic equations and backward stochastic differential equations
- Social optima in mean field linear-quadratic-Gaussian models with control input constraint
- Mixed linear quadratic stochastic differential leader-follower game with input constraint
- Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Constrained stochastic LQ control on infinite time horizon with regime switching
- Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
- Linear quadratic optimal control problems with fixed terminal states and integral quadratic constraints
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
- Risk-sensitive mean field games with major and minor players
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- A class of optimal control problems of forward-backward systems with input constraint
- Application of stochastic linear quadratic optimal control in portfolio selection model and hedging strategy problem
- Dividend optimization for jump-diffusion model with solvency constraints
- Mean field game for linear-quadratic stochastic recursive systems
- Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems
- Partially observed time-inconsistency recursive optimization problem and application
- Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional
- Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization
- Linear quadratic mean field game with control input constraint
- Arbitrage-free multifactor term structure models: a theory based on stochastic control
- Stochastic linear-quadratic control with a jump and regime switching on a random horizon
- Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
- General linear quadratic optimal stochastic control problem driven by a Brownian motion and a Poisson random martingale measure with random coefficients
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- Continuous-time Markowitz's model with constraints on wealth and portfolio
- Indefinite LQ optimal control with process state inequality constraints for discrete-time uncertain systems
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Title not available (Why is no real title available?)
- Numerical methods for portfolio selection with bounded constraints
- A general linear quadratic stochastic control and information value
- A stochastic receding horizon control approach to constrained index tracking
- Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
- Application of stochastic linear quadratic optimal control in portfolio selection problem
- Title not available (Why is no real title available?)
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Title not available (Why is no real title available?)
- Cone-constrained continuous-time Markowitz problems
- Discrete-time indefinite stochastic linear quadratic optimal control with second moment constraints
- Survey on multi-period mean-variance portfolio selection model
This page was built for publication: Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5317138)