The Lagrange method of optimization with applications to portfolio and investment decisions

DOI10.1016/0165-1889(94)00841-9zbMath0875.90024OpenAlexW2038339998MaRDI QIDQ1350634

Gregory C. Chow

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)00841-9

zbMATH Keywords

Lagrange multipliersDynamic programmingOptimal controlC61E22

Mathematics Subject Classification ID

Related Items (5)

A new look at the Lagrange method for continuous-time stochastic optimization ⋮ Optimal lock-down intensity: a stochastic pandemic control approach of path integral ⋮ Модель поведения производителя при наличии случайных моментов получения кредита и инвестиций ⋮ Optimization of market stochastic dynamics ⋮ Decision-making, risk and corporate governance: new dynamic models/algorithms and optimization for bankruptcy decisions

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal control without solving the Bellman equation
• An Intertemporal Capital Asset Pricing Model
• Unnamed Item
• Unnamed Item

This page was built for publication: The Lagrange method of optimization with applications to portfolio and investment decisions