东华大学学报（英文版）2001，Vol.18Issue(1)：130-135,6.
Convex Duality in Portfolio Optimization under Constraints and with Higher Interest Rate for Borrowing
Convex Duality in Portfolio Optimization under Constraints and with Higher Interest Rate for Borrowing
雷耀斌 1吴让泉2
作者信息
- 1. College of Information and Technology, Dong Hua University, Shanghai ,200051
- 2. School of Science, Dong Hua University, Shanghai ,200051
- 折叠
摘要
Abstract
We study the stochastic control problem of maximizing expected utility from terminal wealth and/or consumption, when the portfolio is constrained to take values in a given closed, convex subset of Ra, and in the presence of a higher interest rate for borrowing. The setting is that of a continuous-time, Ito process model for the underlying asset prices. The solution of the unconstrained problem is given. In addition to the original constrained optimization problem, a so-called combined dual problem is introduced. Finally, the existence question of optimal processes for both the dual and the primal problem is settled.关键词
portfolio/martingale/stochastic control/convex dualityKey words
portfolio/martingale/stochastic control/convex duality分类
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雷耀斌,吴让泉..Convex Duality in Portfolio Optimization under Constraints and with Higher Interest Rate for Borrowing[J].东华大学学报（英文版）,2001,18(1):130-135,6.
