Strategic asset allocation

DOI10.1016/S0165-1889(97)00031-6zbMath0901.90008OpenAlexW2021824814MaRDI QIDQ1391439

Ronald Lagnado, Eduardo S. Schwartz, Michael J. Brennan

Publication date: 22 July 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00031-6

zbMATH Keywords

investment policy stochastic control theory intertemporal portfolio theory

Mathematics Subject Classification ID

Application models in control theory (93C95) Optimal stochastic control (93E20) Portfolio theory (91G10)

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