Optimum Constrained Portfolio Rules in a Diffusion Market

DOI10.1080/13504860600840061zbMath1142.91517OpenAlexW1966115821MaRDI QIDQ3424319

Fernando J. Durrell

Publication date: 15 February 2007

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860600840061

zbMATH Keywords

utilityHamilton-Jacobi-Bellman equationstochastic dynamic programmingconstraints

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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