An Optimal Control Approach to Portfolio Optimisation with Conditioning Information
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References listed on IDEAS
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- repec:luc:wpaper:13-3 is not listed on IDEAS
- Jang Schiltz & Marc Boissaux, 2013. "A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems," LSF Research Working Paper Series 13-3, Luxembourg School of Finance, University of Luxembourg.
More about this item
KeywordsOptimal Control; Portfolio Optimization;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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