Quadratic minimization with portfolio and intertemporal wealth constraints
type: Item
instance of: scholarly article
title: Quadratic minimization with portfolio and intertemporal wealth constraints
zbMATH Open document ID: 1411.91533
author: Dian Zhu
author: Andrew J. Heunis
published in: Annals of Finance
publication date: 2017-11-16T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6807715
zbMATH Keywords: portfolio optimization
zbMATH Keywords: stochastic control
zbMATH Keywords: conjugate duality
zbMATH Keywords: portfolio constraint
zbMATH Keywords: intertemporal wealth constraint
zbMATH Keywords: Lagrange multiplier
zbMATH Keywords: Slater condition
MaRDI profile type: Publication
full work available at URL: s10436-017-0300-5
OpenAlex ID: W4243981739
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DOI: 10.1007/S10436-017-0300-5
description: scientific article; zbMATH DE number 6807715