On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion

DOI10.1134/S0005117920120036zbMath1457.91342OpenAlexW3127518848MaRDI QIDQ2229544

A. N. Ignatov

Publication date: 18 February 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117920120036

zbMATH Keywords

portfolio optimizationprobabilistic criterionpositional controlmultistep problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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