A convex stochastic optimization problem arising from portfolio selection

Mathematical Finance

Volumn 18, Issue 1, 2008, Pages 171-183

  Jin, Hanqing ^a   Quan Xu, Zuo ^a   Yu Zhou, Xun ^a  

^a UNIVERSITY OF OXFORD   (United Kingdom)

Author keywords

Attainability; Convex stochastic optimization; Lagrange multiplier; Portfolio selection; Well posedness

Indexed keywords

EID: 37249068520     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00327.x     Document Type: Article

References (7)

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7. Jin, H., and X. Y. Zhou (2008 Behavioral Portfolio Selection in Continuous Time, Math. Finance, forthcoming.