Variance minimization in stochastic systems.

MaRDI QIDQ4407580zbMATH OpenFDO

Authors Duan Li, Fucai Qian, Peilin Fu

Publication date 10 November 2003

zbMATH Keywords

convexificationdynamic portfolio selectiondynamic programmingembedding schemefeedbackseparation schemesstochastic systemsvariance minimization

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal feedback synthesis (49N35) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Review text

An efficient solution framework to deal with a general class of variance minimization problems is developed. Using an embedding scheme, a feedback optimal policy for a general class of variance minimization problems is obtained using a parametric dynamic programming method. Convexification and separation schemes are adopted to overcome the analytical and computational difficulties in variance minimization. Variance minimization in dynamic portfolio selection is considered. For the entire collection see [Zbl 1005.00025].

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(3)

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