Transition density function expansion methods for portfolio optimization

DOI10.1002/OCA.3102MaRDI QIDQ6585828zbMATH OpenFDO

Authors Yuxuan Lu, Qing Zhou, Weixing Wu, Weilin Xiao

Publication date 12 August 2024

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/OCA.3102

zbMATH Keywords

dynamic programming principleportfolio optimizationquasi-Lamperti transformationtransition density expansion

Mathematics Subject Classification ID

Systems theory; control (93-XX)

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