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Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection.

Ying HuXun Yu Zhou
Published in: SIAM J. Control. Optim. (2005)
Keyphrases
  • portfolio selection
  • neural network
  • linear combination
  • optimal control
  • genetic algorithm
  • multiple objectives
  • stochastic programming
  • portfolio optimization
  • multistage stochastic