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Portfolio Optimization In Finance

In: European Women In Mathematics

Author

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  • NADINE BELLAMY

    (Equipe d'analyse et Probabilités, Université d'Evry Val d'Essonne, Rue du Père Jarlan, 91025 Evry Cedex, France)

Abstract

Let us consider an economic agent, who invests in the assets of a financial market. The agent is facing optimal consumption and investment decisions, and wants to optimize his strategy. The optimization problem is usually dealt with one of the following methods : the mean-variance analysis, or the concept of utility functions. We recall the main tools, such as the method of Lagrange multipliers and the dynamic optimization (Bellman's equation). Then we give explicit expressions for the optimal strategy in some usual cases.

Suggested Citation

  • Nadine Bellamy, 2003. "Portfolio Optimization In Finance," World Scientific Book Chapters, in: Emilia Mezzetti & Sylvie Paycha (ed.), European Women In Mathematics, chapter 5, pages 71-92, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812704276_0005
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