Investment optimization under constraints.

DOI10.1007/s001860400368zbMath1055.91029OpenAlexW1566698902MaRDI QIDQ703142

Nguyen Thanh Long

Publication date: 11 January 2005

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860400368

zbMATH Keywords

state constraintsstochastic optimizationdualityconvex constraintsoptional decompositioninvestment optimization

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99)

Related Items (2)

On utility maximization under convex portfolio constraints ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics

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