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20172023
most citedMean-variance hybrid portfolio optimization with quantile-based risk measure

2 citations · 2 across the 4 of their papers we have counts for

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eess.SY2017

Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise

Weipin Wu, Jianjun Gao, Duan Li +1

We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has…