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A New Approach to Stochastic Optimization

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Abstract

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

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References

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Authors and Affiliations

  1. Department of Economics, University of the West Indies, St. Augustine, Trinidad and Tobago

    Moawia Alghalith

Authors
  1. Moawia Alghalith
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Correspondence to Moawia Alghalith.

Additional information

Communicated by Jose B. Cruz.

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Alghalith, M. A New Approach to Stochastic Optimization. J Optim Theory Appl 155, 669–672 (2012). https://doi.org/10.1007/s10957-012-0073-y

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  • DOI: https://doi.org/10.1007/s10957-012-0073-y

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