A note on the stochastic portfolio optimization

Moawia Alghalith ()
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Moawia Alghalith: UWI St Augustine

Economics Bulletin, 2017, vol. 37, issue 2, 1265-1266

Abstract: We reduce the continuous-time dynamic (portfolio) optimiza\tion problem to a simple, one-period optimization model. Our method is far simpler than the existing methods in the sense that it avoids the complexities associated with the Hamilton-Jacobi-Bellman partial differential equation HJB PDE or the duality methods.

JEL-codes: C6 (search for similar items in EconPapers)
Date: 2017-06-05
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