A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION
نویسندگان
چکیده
منابع مشابه
A Convex Stochastic Optimization Problem Arising from Portfolio Selection
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In literature the latter is solved by assuming a priori that the problem is well-posed (i.e., the supremum value is finite) and a Lagrange multiplier exists (and as a ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2007
ISSN: 0960-1627
DOI: 10.1111/j.1467-9965.2007.00327.x