Duality in constrained optimal investment and consumption problems: a synthesis
نویسنده
چکیده
These lectures are all about optimal investment/consumption problems, usually with some ‘imperfection’, such as transaction costs, or constraints on the permitted portfolios, or different interest rates for borrowing and lending, or margin requirements for borrowing, or even just incomplete markets. Some time ago, Karatzas, Lehoczky & Shreve (1987), and Cox & Huang (1989) realised that the use of duality methods provided powerful insights into the solutions of such problems, using them to prove the form of the optimal solution to significant generalisations of the original Merton (1969) problem, which Merton had proved using (very problem-specific) optimal control methods. These duality methods have become very popular in the intervening years, and now it seems that when faced with one of these problems, the steps are:
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تاریخ انتشار 2006