An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets

2013 ◽  
Vol 4 (1) ◽  
pp. 494-538 ◽  
Author(s):  
Sergey Nadtochiy ◽  
Thaleia Zariphopoulou
Keyword(s):  
Incomplete Markets ◽  
Approximation Scheme ◽  
Optimal Investment ◽  
Investment Problem ◽  
Optimal Investment Problem

Portfolio Optimization in Incomplete Markets

2019 ◽  
pp. 426-435
Author(s):  
Tomas Björk
Keyword(s):  
Portfolio Optimization ◽  
Incomplete Markets ◽  
Duality Theory ◽  
Optimal Investment ◽  
Optimal Consumption ◽  
Finite Sample ◽  
Martingale Approach ◽  
Dual Approach ◽  
Full Theory ◽  
Optimal Investment Problem

The object of this chapter is to give an overview of the dual approach to portfolio optimization in incomplete markets. The main result of this theory is that to every optimal investment problem there is a dual problem where we minimize a dual objective function over the class of martingale measures. For the case of a finite sample space we can present the full theory, but for the general case we only outline the proof. The theory is closely connected to convex duality theory and to the martingale approach to optimal consumption/investment discussed in Chapter 27.

Optimal investment problem under behavioral setting: A Lagrange duality perspective

2021 ◽  
Author(s):  
Xiuchun Bi ◽  
Lvning Yuan ◽  
Zhenyu Cui ◽  
Jiacheng Fan ◽  
Shuguang Zhang
Keyword(s):  
Optimal Investment ◽  
Lagrange Duality ◽  
Investment Problem ◽  
Optimal Investment Problem
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