Optimal portfolio policies under bounded expected loss and partial information
نویسندگان
چکیده
منابع مشابه
Optimal Portfolio Policies under Bounded Expected Loss and Partial Information Optimal Portfolio Policies under Bounded Expected Loss and Partial Information *
In a market with partial information we consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of expected loss. Stock returns satisfy a stochastic differential equation. Under general conditions on the corresponding drift process we provide the optimal trading strategy using Mallia...
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In a market with partial information we consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of expected loss. Stock returns satisfy a stochastic differential equation. Under general conditions on the corresponding drift process we provide the optimal trading strategy using Mallia...
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ژورنال
عنوان ژورنال: Mathematical Methods of Operations Research
سال: 2010
ISSN: 1432-2994,1432-5217
DOI: 10.1007/s00186-010-0300-y