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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization.

Daniel AnderssonBoualem Djehiche
Published in: Math. Methods Oper. Res. (2010)
Keyphrases
  • portfolio optimization
  • problems involving
  • portfolio selection
  • stochastic control
  • optimization methods
  • data mining
  • genetic algorithm
  • evolutionary algorithm
  • brownian motion