A new approach to stochastic optimization

DOI10.1007/S10957-012-0073-YzbMath1257.90060OpenAlexW2073798204MaRDI QIDQ1935299

Moawia Alghalith

Publication date: 14 February 2013

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0073-y

zbMATH Keywords

portfoliostochastic optimizationvariational methodsutility functioninvestmentduality methodHJB PDE

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

A note on the theory of the firm under multiple uncertainties

Cites Work

• A new stochastic factor model: general explicit solutions
• Recent applications of theory of the firm under uncertainty
• Unnamed Item

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