Alcuni problemi matematici legati alla gestione ottima di un portafoglio
Pratelli, Maurizio
Bollettino dell'Unione Matematica Italiana, Tome 7-A (2004), p. 593-607 / Harvested from Biblioteca Digitale Italiana di Matematica
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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.

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.

Publié le : 2004-10-01
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     title = {Alcuni problemi matematici legati alla gestione ottima di un portafoglio},
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Pratelli, Maurizio. Alcuni problemi matematici legati alla gestione ottima di un portafoglio. Bollettino dell'Unione Matematica Italiana, Tome 7-A (2004) pp. 593-607. http://gdmltest.u-ga.fr/item/BUMI_2004_8_7B_3_593_0/

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