A new optimal portfolio selection model with owner-occupied housing

DOI10.1016/j.amc.2015.08.075zbMath1410.91418OpenAlexW1421987463MaRDI QIDQ670831

Eddie C. M. Hui, Guangchen Wang

Publication date: 20 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.08.075

zbMATH Keywords

linear-quadratic optimal controlPoisson processpartial informationportfolio selectionowner-occupied housing

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)

Related Items (1)

A general linear quadratic stochastic control and information value

Cites Work

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• Financial Modelling with Jump Processes

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