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 adopted for modeling social
choice problems. Problems discussed include: when is an optimum
reached; when is it unique; relaxation of the conventional convex
(or concave) assumptions on an economic model; associated
mathematical concepts such as invex and quasimax; multiobjective
optimal control models; and related computational methods and
programs. These techniques are applied to economic growth models
(including small stochastic perturbations), finance and financial
investment models (and the interaction between financial and
production variables), modeling sustainability over long time
horizons, boundary (transversality) conditions, and models with
several conflicting objectives. Although the applications are
general and illustrative, the models in this book provide examples
of possible models for a society's social choice for an allocation
that maximizes welfare and utilization of resources. As well as
using existing computer programs for optimization of models, a new
computer program, named SCOM, is presented in this book for
computing social choice models by optimal control.
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