This thesis summarizes most of my recent research in the field of portfolio optimization. The main topics which I have addressed are portfolio problems with sto

The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by

In an economy where interest rates and stock price changes follow fairly general stochastic processes, we analyse the portfolio problem of an expected utility i

Tempting to formulate the long-term investment strategy for investors who dynamically adjust her portfolio over her lifetime, we are interested to optimize the