Quadratic Hedging with Mixed State and Control Constraints

DOI10.1007/978-3-319-67068-3_28zbMath1407.91222OpenAlexW2788106397MaRDI QIDQ4625794

Andrew J. Heunis

Publication date: 25 February 2019

Published in: Lecture Notes in Control and Information Sciences - Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-67068-3_28

Mathematics Subject Classification ID

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

Cites Work

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• Stochastic convex programming: Singular multipliers and extended duality, singular multipliers and duality
• Quadratic minimization with portfolio and intertemporal wealth constraints
• Quadratic minimization with portfolio and terminal wealth constraints
• Convex duality in constrained mean-variance portfolio optimization
• Necessary conditions for a weak extremum in optimal control problems with mixed constraints of the inequality type
• Optimal Control Problems with Mixed Control-Phase Variable Equality and Inequality Constraints
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

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