Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation.
Sona KilianováMária TrnovskáPublished in: Int. J. Comput. Math. (2016)
Keyphrases
- hamilton jacobi bellman
- portfolio optimization
- robust optimization
- optimal control
- control problems
- nonlinear systems
- stochastic control
- bi objective
- hamilton jacobi
- dynamical systems
- mathematical model
- stock market
- approximate dynamic programming
- queueing systems
- special case
- mathematical programming
- neural network
- reinforcement learning
- semidefinite programming
- finite difference
- portfolio selection
- efficient solutions
- problems involving
- linear programming
- optimal solution
- data mining