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Andrew E. B. Lim, Xun Yu Zhou. Mean-variance portfolio selection via LQ optimal control. In 40th IEEE Conference on Decision and Control, CDC 2001, Orlando, FL, USA, 4-7 Dec., 2001. pages 4553-4558, IEEE, 2001. [doi]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio SelectionYing Hu, Xun Yu Zhou. siamco, 44(2):444-466, 2005. [doi] Mean-Variance Portfolio Selection under Partial InformationJie Xiong, Xun Yu Zhou. siamco, 46(1):156-175, 2007. [doi]
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