Investment optimization under constraints.

DOI10.1007/S001860400368zbMATH Open1055.91029OpenAlexW1566698902MaRDI QIDQ703142FDOQ703142

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

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zbMATH Keywords

stochastic optimizationdualitystate constraintsconvex constraintsoptional decompositioninvestment optimization

Mathematics Subject Classification ID

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

Cited In (10)

• Optimal investment problem under behavioral setting: a Lagrange duality perspective
• Stochastic optimization under constraints.
• Optimal investment strategies with a reallocation constraint
• Investment under duality risk measure
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• On utility maximization under convex portfolio constraints
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
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