Article ID: | iaor20132050 |
Volume: | 7 |
Issue: | 3 |
Start Page Number: | 607 |
End Page Number: | 612 |
Publication Date: | Mar 2013 |
Journal: | Optimization Letters |
Authors: | Makasu Cloud |
Keywords: | quadratic control, vector optimization |
In this note, a vector‐valued LQG homing problem subject to a controlled stock‐wealth process is formulated. Under certain conditions, the problem is solved explicitly via an auxiliary scalar LQG homing problem.