Convex Duality in Portfolio Optimization under Constraints and with Higher Interest Rate for Borrowing  

作　　者：Lei Yaobin(雷耀斌) Wu Rangquan(吴让泉) 

机构地区：[1]College of Information and Technology, Dong Hua University, Shanghai ,200051 School of Science, Dong Hua University, Shanghai ,200051

出　　处：《Journal of Donghua University(English Edition)》2001年第1期130-135,共6页东华大学学报（英文版）

摘　　要：We study the stochastic control problem of maximizing expected utility from terminal wealth and/or consumption, when the portfolio is constrained to take values in a given closed, convex subset of Ra, and in the presence of a higher interest rate for borrowing. The setting is that of a continuous-time, Ito process model for the underlying asset prices. The solution of the unconstrained problem is given. In addition to the original constrained optimization problem, a so-called combined dual problem is introduced. Finally, the existence question of optimal processes for both the dual and the primal problem is settled.We study the stochastic control problem of maximizing expected utility from terminal wealth and/or consumption, when the portfolio is constrained to take values in a given closed, convex subset of Rd, and in the presence of a higher interest rate for borrowing. The setting is that of a continuous-time, Ito process model for the underlying asset prices. The solution of the unconstrained problem is given. In addition to the original constrained optimization problem, a so-called combined dual problem is introduced. Finally, the existence question of optimal processes for both the dual and the primal problem is settled.

关 键 词：portfolio  martingale  stochastic control  CONVEX duality. 

分 类 号：F[经济管理]