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Is there any stochastic control literature about a linear combination of variables?

Posted: October 10th, 2019, 1:35 am
by EdisonCruise
Suppose I have a portfolio of N options and they are affected by M Brownian motions, where M<<N. I hope to maximize the expected return of this portfolio, which is a linear combination of each stock’s return. Then how to formulate the HJB equation? Is there any classical literature/material about this topic?

Thank you.