Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
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Publication:5317138
DOI10.1137/S0363012904441969zbMath1210.93082OpenAlexW1994712972MaRDI QIDQ5317138
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
backward stochastic differential equationefficient frontierefficient portfoliostochastic LQ controlmean-variance portfolio selectionextended stochastic Riccati equation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)
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