| 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.