Journal article
A convex stochastic optimization problem arising from portfolio selection
- Abstract:
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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 consequence the optimal solution is attainable). In this paper it is first shown that, via various c...
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- Publication status:
- Published
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Bibliographic Details
- Publication date:
- 2008-01-01
- DOI:
- EISSN:
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1467-9965
- ISSN:
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0960-1627
- Source identifiers:
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10023
Item Description
- Keywords:
- Pubs id:
-
pubs:10023
- UUID:
-
uuid:fcf45c60-ef6d-4cc7-8b5b-7b34b862c8a1
- Local pid:
- pubs:10023
- Deposit date:
- 2012-12-19
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- Copyright date:
- 2008
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