A New Approach to Stochastic Optimization

Moawia Alghalith ()
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Moawia Alghalith: University of the West Indies

Journal of Optimization Theory and Applications, 2012, vol. 155, issue 2, No 18, 669-672

Abstract: Abstract We derive general explicit solutions to the investment model without reliance on the existing duality or variational methods.

Keywords: Stochastic optimization; HJB PDE; Investment; Portfolio; Duality method; Variational methods; Utility function (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10957-012-0073-y

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