On asymptotic log-optimal portfolio optimization

DOI10.1016/j.automatica.2023.110901zbMath1520.91368arXiv2103.04898OpenAlexW4322109852MaRDI QIDQ6109043

Chung-Han Hsieh

Publication date: 30 June 2023

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.04898

zbMATH Keywords

portfolio optimizationfinancial engineeringstochastic systemscontrol applications in financeexpected logarithmic growth

Mathematics Subject Classification ID

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

Cites Work

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