Quadratic minimization with portfolio and intertemporal wealth constraints (Q1680704)
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scientific article; zbMATH DE number 6807715
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quadratic minimization with portfolio and intertemporal wealth constraints |
scientific article; zbMATH DE number 6807715 |
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Quadratic minimization with portfolio and intertemporal wealth constraints (English)
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16 November 2017
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portfolio optimization
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stochastic control
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conjugate duality
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portfolio constraint
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intertemporal wealth constraint
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Lagrange multiplier
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Slater condition
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