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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...

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Publication status:
Published

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Publication date:
2008-01-05
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
URN:
uuid:fcf45c60-ef6d-4cc7-8b5b-7b34b862c8a1
Source identifiers:
10023
Local pid:
pubs:10023

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