Quadratic minimization with portfolio and intertemporal wealth constraints

DOI10.1007/s10436-017-0300-5zbMath1411.91533OpenAlexW4243981739MaRDI QIDQ1680704

Dian Zhu, Andrew J. Heunis

Publication date: 16 November 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-017-0300-5

zbMATH Keywords

Lagrange multiplierstochastic controlportfolio optimizationconjugate dualitySlater conditionportfolio constraintintertemporal wealth constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (3)

Risk-neutral multiobjective optimal control of random Volterra integral equations ⋮ Regularity of multipliers for multiobjective optimal control problems governed by evolution equations ⋮ Quadratic Hedging with Mixed State and Control Constraints

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