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- Title
A kind of optimal portfolio selection problem based on stochastic LQ control.
- Authors
Ke-ni, ZHANG; Xuan-hui, LIU; Jin-yan, ZHANG
- Abstract
Stochastic LQ control model is extended to the model of jump-diffusion process with continuous- time Markov regime-switching. With the different borrowing and lending interest rates, the extended stochastic LQ control can be applied to an optimal portfolio selection problem. By using a jump-diffusion stochastic Riccati equation and applying random variational method, the efficient portfolio can be obtained.
- Subjects
OPTIMAL control theory; H2 control; STOCHASTIC analysis; MARKOV processes; RANDOM variables; RICCATI equation
- Publication
Basic Sciences Journal of Textile Universities / Fangzhi Gaoxiao Jichu Kexue Xuebao, 2012, Vol 25, Issue 3, p346
- ISSN
1006-8341
- Publication type
Article