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20142026
most citedDynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time

6 citations · 8 across the 7 of their papers we have counts for

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Showing 2018Show all

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q-fin.PM2018

Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications

Weiping Wu, Jianjun Gao, Junguo Lu +1

This paper studies a class of continuous-time scalar-state stochastic Linear-Quadratic (LQ) optimal control problem with the linear control constraints. Applying the state separati…