The Lagrange method of optimization with applications to portfolio and investment decisions

DOI10.1016/0165-1889(94)00841-9zbMath0875.90024MaRDI QIDQ1350634

Gregory C. Chow

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)00841-9

zbMATH Keywords

Lagrange multipliers; Dynamic programming; Optimal control; C61; E22

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C30: Nonlinear programming

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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Cites Work

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