Duality in constrained optimal investment and consumption problems: a synthesis

Abstract

• 1 Dual Problems Made Easy

• 2 Dual Problems Made Concrete

• 3 Dual Problems Made Difficult

• 4 Dual Problems Made Honest

• 5 Dual Problems Made Useful

• 6 Taking Stock

• 7 Solutions to Exercises

• References

Supported partly by EPSRC grant GR/R03006. It is a pleasure to thank my hosts at the Workshop on Financial Mathematics and Econometrics held in Montréal, June 26-30, 2001, under the auspices of CIRANO; particularly the organisers Jérôme Detemple, René Garcia, Rric Renault and Nizar Touzi, for a productive, enjoyable and stimulating week. Thanks are also due to the other participants at the meeting for many illuminating discussions, and for bravely turning up at the end of an already long day of lectures to hear the contents of these talks!