A New Approach to Stochastic Optimization

A New Approach to Stochastic Optimization

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Article ID: iaor20127252
Volume: 155
Issue: 2
Start Page Number: 669
End Page Number: 672
Publication Date: Nov 2012
Journal: Journal of Optimization Theory and Applications
Authors:
Keywords: investment
Abstract:

We derive general explicit solutions to the investment model without reliance on the existing duality or variational methods.

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