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| Moawia Alghalith |
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| ''A note on the stochastic portfolio optimization'' |
| ( 2017, Vol. 37 No.2 ) |
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| We reduce the continuous-time dynamic (portfolio) optimiza
tion problem to a simple, one-period optimization model. Our method is far
simpler than the existing methods in the sense that it avoids the complex
ities associated with the Hamilton-Jacobi-Bellman partial differential equa
tion HJB PDE or the duality methods.
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| Keywords: |
JEL: C6 - Mathematical Methods and Programming: General
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| Manuscript Received : Jan 26 2017 | | Manuscript Accepted : Jun 05 2017 |
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