Investment optimization under constraints.

DOI10.1007/S001860400368MaRDI QIDQ703142zbMATH OpenOpenAlexFDO

Authors Nguyen Thanh Long

Publication date 11 January 2005

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860400368

zbMATH Keywords

convex constraintsdualityinvestment optimizationoptional decompositionstate constraintsstochastic optimization

Mathematics Subject Classification ID

Stochastic processes (60G99) Optimal stochastic control (93E20)

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Cited in

(11)

• Stochastic optimization under constraints.
• On utility maximization under convex portfolio constraints
• Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
• Investment under duality risk measure
• scientific article; zbMATH DE number 5608163 (Why is no real title available?)
• scientific article; zbMATH DE number 1985274 (Why is no real title available?)
• scientific article; zbMATH DE number 1538585 (Why is no real title available?)
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Optimal investment problem under behavioral setting: a Lagrange duality perspective
• Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
• Optimal investment strategies with a reallocation constraint

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