Alcuni problemi matematici legati alla gestione ottima di un portafoglio

Maurizio Pratelli

Bollettino dell'Unione Matematica Italiana (2004)

  • Volume: 7-B, Issue: 3, page 593-607
  • ISSN: 0392-4041

Abstract

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In this talk, main ideas concerning the classic problem of portfolio optimization (also known as Merton's problem) are illustrated. Methods of stochastic control are compared to those of infinite-dimensional convex duality.

How to cite

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Pratelli, Maurizio. "Alcuni problemi matematici legati alla gestione ottima di un portafoglio." Bollettino dell'Unione Matematica Italiana 7-B.3 (2004): 593-607. <http://eudml.org/doc/195232>.

@article{Pratelli2004,
abstract = {In questa conferenza, vengono esposte le idee essenziali che stanno alla base del classico problema di gestire un portafoglio in modo da rendere massima l'utilità media. I metodi tipici del controllo stocastico sono confrontati con le idee della dualità convessa infinito-dimensionale.},
author = {Pratelli, Maurizio},
journal = {Bollettino dell'Unione Matematica Italiana},
language = {ita},
month = {10},
number = {3},
pages = {593-607},
publisher = {Unione Matematica Italiana},
title = {Alcuni problemi matematici legati alla gestione ottima di un portafoglio},
url = {http://eudml.org/doc/195232},
volume = {7-B},
year = {2004},
}

TY - JOUR
AU - Pratelli, Maurizio
TI - Alcuni problemi matematici legati alla gestione ottima di un portafoglio
JO - Bollettino dell'Unione Matematica Italiana
DA - 2004/10//
PB - Unione Matematica Italiana
VL - 7-B
IS - 3
SP - 593
EP - 607
AB - In questa conferenza, vengono esposte le idee essenziali che stanno alla base del classico problema di gestire un portafoglio in modo da rendere massima l'utilità media. I metodi tipici del controllo stocastico sono confrontati con le idee della dualità convessa infinito-dimensionale.
LA - ita
UR - http://eudml.org/doc/195232
ER -

References

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