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An Alternative Method of Stochastic Optimization: The Portfolio Model

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DOI: 10.4236/am.2011.27123    3,760 Downloads   7,290 Views   Citations

ABSTRACT

We provide a new simple approach to stochastic dynamic optimization. In doing so, we derive the existing (standard) results using a far simpler technique than the duality and the variational methods.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

M. Alghalith, "An Alternative Method of Stochastic Optimization: The Portfolio Model," Applied Mathematics, Vol. 2 No. 7, 2011, pp. 912-913. doi: 10.4236/am.2011.27123.

References

[1] M. Alghalith, “A New Stochastic Factor Model: General Explicit Solutions,” Applied Mathematics Letters, Vol. 22, No. 12, 2009, pp. 1852-1854. doi:10.1016/j.aml.2009.07.011
[2] W. Fleming, “Some Optimal Investment, Production and Consumption Models,” Contemporary Mathematics: Ma- thematics of Finance AMS-IMS-SIAM Proceedings, 2004, pp. 115-124.
[3] F. Focardi and F. Fabozzi, “The Mathematics of Financial Modeling and Investment Management,” Wiley, Hoboken, 2004.

  
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