Investment optimization under constraints

Long Nguyen-Thanh

Mathematical Methods of Operations Research, 2004, vol. 60, issue 2, 175-201

Abstract: We extend the duality approach developed by Kramkov and Schachermayer (1999) to cover the case of a general financial framework that includes models with some “imperfection”, such as constrained proportion portfolios, labor income, random endowment and large investor. General objective functions such as deterministic or random utility functions and shortfall risk loss functions are considered. Under a minimal set of assumptions equivalent to the asymptotic elasticity condition imposed on the agent’s utility function, we present an optimal investment theorem and, at the same time, address the corresponding dual problem. Copyright Springer-Verlag 2004

Keywords: Stochastic Optimization; Investment Optimization; Duality Theory; Convex and State Constraints; Optional Decomposition; G11; 93E20; 90A09; 90A10 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/s001860400368

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