An Optimal Control Approach to Portfolio Optimisation with Conditioning Information
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Cited by:
- Jang Schiltz & Marc Boissaux, 2013. "A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems," DEM Discussion Paper Series 13-3, Department of Economics at the University of Luxembourg.
- 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.
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More about this item
Keywords
Optimal Control; Portfolio Optimization;JEL classification:
- 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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2010-12-18 (Computational Economics)
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