Stochastic optimization under constraints.
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Publication:1888753
DOI10.1016/S0304-4149(00)00089-2zbMath1070.93050MaRDI QIDQ1888753
Publication date: 26 November 2004
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
stochastic controldualityincomplete marketsfinance and insuranceportfolio optimization under constraints
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (10)
On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ On utility maximization under convex portfolio constraints ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ OPTIMAL RISK CONTROL UNDER MARKED POINT PROCESSES SHOCKS: A DYNAMIC PROGRAMMING DUALITY APPROACH ⋮ On the existence of an efficient hedge for an American contingent claim within a discrete time market ⋮ Expected utility maximization problem under state constraints and model uncertainty ⋮ Convergence in the Semimartingale Topology and Constrained Portfolios ⋮ Constrained nonsmooth utility maximization on the positive real line
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