Journal article
A convex stochastic optimization problem arising from portfolio selection
- Abstract:
-
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...
Expand abstract
- Publication status:
- Published
Actions
Access Document
- Publisher copy:
- 10.1111/j.1467-9965.2007.00327.x
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Authors
Bibliographic Details
- Publication date:
- 2008-01-01
- DOI:
- EISSN:
-
1467-9965
- ISSN:
-
0960-1627
- Source identifiers:
-
10023
Item Description
- Keywords:
- Pubs id:
-
pubs:10023
- UUID:
-
uuid:fcf45c60-ef6d-4cc7-8b5b-7b34b862c8a1
- Local pid:
- pubs:10023
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2008
If you are the owner of this record, you can report an update to it here: Report update to this record