Continuous-time mean-variance portfolio selection: A stochastic LQ framework

Applied Mathematics and Optimization

Volumn 42, Issue 1, 2000, Pages 19-33

  Zhou, X Y ^a   Li, D ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEM ANALYSIS; MATHEMATICAL MODELS; STOCHASTIC CONTROL SYSTEMS;

CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION; STOCHASTIC LINEAR QUADRATIC (LQ) CONTROL;

OPTIMIZATION;

EID: 0033722043     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s002450010003     Document Type: Article

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