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...
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| Format: | Thesis |
| Language: | English |
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University of Oxford;Mathematics
2008
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