An Alternative Method of Stochastic Optimization: The Portfolio Model - Applied Mathematics

AM > Vol.2 No.7, July 2011

Applied Mathematics

Volume 2, Issue 7 (July 2011)

ISSN Print: 2152-7385 ISSN Online: 2152-7393

Google-based Impact Factor: 0.58 Citations

An Alternative Method of Stochastic Optimization: The Portfolio Model ()

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DOI: 10.4236/am.2011.27123 4,514 Downloads 8,815 Views Citations

Author(s)

Moawia Alghalith

Affiliation(s)

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.

KEYWORDS

Stochastic Optimization, Investment, Portfolio

Share and Cite:

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.

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