Financial benchmark tracking problems under a stochastic linear quadratic control framework
In this thesis we analyse the problem of tracking a financial benchmark via trading a portfolio of a small number of assets on a finite time horizon. The development of general stochastic linear quadratic control (SLQ) theory in recent years allows us to study this investment problem using this appr...
| প্রধান লেখক: | |
|---|---|
| বিন্যাস: | গবেষণাপত্র |
| ভাষা: | English |
| প্রকাশিত: |
University of Oxford;Mathematics
2008
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