Quadratic minimization with portfolio and terminal wealth constraints
Andrew J. Heunis
| Year of publication: |
2015
|
|---|---|
| Authors: | Heunis, Andrew J. |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 11.2015, 2, p. 243-282
|
| Subject: | Portfolio optimization | Stochastic control | Conjugate duality | Constraints | Lagrange multiplier | Slater condition | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011376186