Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection

DOI10.1137/S0363012904441969zbMATH Open1210.93082OpenAlexW1994712972MaRDI QIDQ5317138FDOQ5317138

Authors: Ying Hu, Xun Yu Zhou 

Publication date: 15 September 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012904441969

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zbMATH Keywords

backward stochastic differential equationefficient portfoliostochastic LQ controlefficient frontiermean-variance portfolio selectionextended stochastic Riccati equation

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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