Investment Optimization under Constraints

Long Nguyen-Thanh

Finance from University Library of Munich, Germany

Abstract: We analyze general stochastic optimization financial problems under constraints in a general framework, which includes financial models with some ``imperfection'', such as constrained portfolios, labor income, random endowment and large investor models. By using general optional decomposition under constraints in a multiplicative form, we first develop a dual formulation under minimal assumption modeled as in Pham and Mnif (2002), Long (2002). We then are able to prove an existence and uniqueness of an optimal solution to primal and to the corresponding dual problem. An optimal investment to the original problem then can be found by convex duality, similarly to the case considered by Kramkov and Schachermayer (1999).

Keywords: Stochastic Optimization; Investment Optimization; Duality Theory; Convex and State Constraints; Optional Decomposition (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 26 pages
Date: 2003-01-09, Revised 2003-03-09
New Economics Papers: this item is included in nep-cfn, nep-cwa, nep-mfd and nep-rmg
Note: Type of Document - Tex/PDF; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 26; figures: no figure
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Journal Article: Investment optimization under constraints (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0301005

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