A Stochastic Portfolio Optimization Model with Bounded Memory
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Publication:2884292
DOI10.1287/moor.1110.0508zbMath1244.34101OpenAlexW2113118602WikidataQ57434526 ScholiaQ57434526MaRDI QIDQ2884292
Mou-Hsiung Chang, Tao Pang, Yipeng Yang
Publication date: 24 May 2012
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/22e5e417792779c68768f9f1a3f9396cffea39e6
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Qualitative investigation and simulation of models involving functional-differential equations (34K60) Portfolio theory (91G10)
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