Constrained Stochastic LQ Control with Regime Switching and Application to Portfolio Selection

Keyphrases

• Markov Chain 100%
• Portfolio Optimization 100%
• Regime Switching 100%
• Stochastic LQ Control 100%
• Brownian Motion 66%
• Extended Stochastic Riccati Equation 66%
• Optimal Cost 33%
• Efficient Frontier 33%
• Mean-variance Portfolio Selection 33%
• Cost Control 33%
• Random Parameters 33%
• Comparison Theorem 33%
• Cost Value 33%
• Control Constraints 33%
• Random Coefficients 33%
• Stochastic Linear-quadratic Optimal Control Problem 33%
• Log Transformation 33%
• Optimal State Feedback Control 33%
• Short-selling Prohibition 33%
• Random Cones 33%
• John-Nirenberg Inequality 33%
• Truncation Function 33%
• Efficient Portfolio Frontier 33%

Mathematics

• Stochastics 100%
• Markov Chain 75%
• Brownian Motion 50%
• Riccati Equation 50%
• Closed Form 25%
• Comparison Theorem 25%
• Random Coefficient 25%
• Log Transformation 25%
• Mean-Variance 25%
• Optimal Control Problem 25%
• Truncation 25%
• Feedback Control 25%