刊物主题:Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Phy
出版者:Springer US
ISSN:1432-0606
卷排序:75
文摘
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities:(i)The optimal terminal wealth \(X^*(T) : = X_{\varphi ^*}(T)\) of the problem to maximize the expected U-utility of the terminal wealth \(X_{\varphi }(T)\) generated by admissible portfolios \(\varphi (t); 0 \le t \le T\) in a market with the risky asset price process modeled as a semimartingale;