Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization

Shu Tong Tse, Peter A. Forsyth, Yuying Li. Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization. SIAM J. Control and Optimization, 52(3):1527-1546, 2014. [doi]

Abstract

Abstract is missing.