OPTIMAL INVESTMENT PROBLEM WITH OPTION

DOI10.12732/ijam.v28i4.5zbMath1329.49073OpenAlexW2257954123MaRDI QIDQ3456265

M. Baweja, Deepak Sehgal, Ratnesh Rajan Saxena

Publication date: 11 December 2015

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12732/ijam.v28i4.5

zbMATH Keywords

optionportfolio theoryconditional value-at-risklarge scale optimizationstochastic simulation optimization

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Linear optimal control problems (49N05) Existence of optimal solutions to problems involving randomness (49J55) Probabilistic methods, stochastic differential equations (65C99)

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