Dynamic Portfolio Execution and Information Relaxations

DOI10.1137/120896761zbMath1308.91140OpenAlexW3124130328MaRDI QIDQ2940762

Martin B. Haugh, Chun Wang

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e4fc779738cbe04b5b382fb7c21983ede3f9544f

zbMATH Keywords

dualitysuboptimal controlinformation relaxationsportfolio execution

Mathematics Subject Classification ID

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

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