The Lagrange method of optimization with applications to portfolio and investment decisions

被引：3
|
作者：
Chow, GC
机构：
[1] Department of Economics, Princeton University, Princeton
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 1996年 / 20卷 / 1-3期
关键词：
optimal control; Lagrange multipliers; dynamic programming;
D O I：
10.1016/0165-1889(94)00841-9
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
A method of Lagrange multipliers is presented for solving dynamic optimization problems involving stochastic differential equations. It is an alternative to dynamic programming. As a generalization of Pontryagin's maximum principle to stochastic models it avoids having to solve the Bellman equation for the value function. Its analytical convenience is illustrated by applications to classic problems of portfolio selection and investment. Its computational advantages are pointed out by presenting a numerical method for dynamic optimization in continuous time.
引用
收藏
页码：1 / 18
页数：18
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