Investment Optimization under Constraints
AbstractWe 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).
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0301005.
Length: 26 pages
Date of creation: 09 Jan 2003
Date of revision: 10 Jan 2003
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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Stochastic Optimization; Investment Optimization; Duality Theory; Convex and State Constraints; Optional Decomposition;
Find related papers by JEL classification:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-01-12 (All new papers)
- NEP-CFN-2003-01-12 (Corporate Finance)
- NEP-MFD-2003-01-12 (Microfinance)
- NEP-RMG-2003-01-12 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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