Portfolio optimization models on infinite-time horizon

DOI10.1023/B:JOTA.0000042596.26927.2dzbMath1082.91051OpenAlexW1979139810MaRDI QIDQ819340

N. E. Zubov

Publication date: 28 March 2006

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000042596.26927.2d

zbMATH Keywords

portfolio optimizationsubsolutions and supersolutionsdynamic programming equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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Cites Work

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