Stochastic Linear Quadratic Portfolio Selection Problem for Relative Return Process
نویسندگان
چکیده
Stochastic linear quadratic portfolio selection problem for relative return process is to maximize the expected linear quadratic function of the relative return process. We introduce the benchmark process and define the relative return process as quotient which is obtained when the wealth process is divided by the benchmark process. We derive the optimal portfolio in closed form via investigating the stochastic linear quadratic control theory.
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