Many optimization questions arise in economics and finance, an important example of this is the society's choice of the optimum state of the economy (the social choice problem). Optimization in Economics and Finance extends and improves the usual optimization techniques, in a form that may be...

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the...