An Alternative Method of Stochastic Optimization: The Portfolio Model
Moawia Alghalith
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DOI: 10.4236/am.2011.27123   PDF   HTML     4,143 Downloads   7,906 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.

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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.

Conflicts of Interest

The authors declare no conflicts of interest.

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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