ویراساینس.
سند علمی

Continuous-time portfolio optimization under terminal wealth constraints

Ralf Korn, Siegfried Trautmann

چکیده

Typically portfolio analysis is based on the expected utility or the mean-variance approach. Although the expected utility approach is the more general one, practitioners still appreciate the mean-variance approach. We give a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints. Moreover, we propose a solution method for such constrained problems.

اسناد مشابه

  • Wind farm portfolio optimization under network capacity constraints

    سند علمی۲۰۱۵European Journal of Operational ResearchHélène Le Cadre, Anthony Papavasiliou, Yves Smeers

    In this article, we provide a new methodology for optimizing a portfolio of wind farms within a market environment, for two Market Designs (exogenous prices and endogenous prices). Our model is built on an agent based representation of suppliers and generators interacting in a ce

  • Continuous time portfolio optimization

    مقاله۲۰۱۵International Journal of Nonlinear Analysis and ApplicationsAbdul Hadi Yaakub, Alireza Bahiraei, Behzad Abbasi, Farahnaz Omidi

    This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of th

  • continuous time portfolio optimization

    مقاله۲۰۱۵international journal of nonlinear analysis and applicationsalireza bahiraie, behzad abbasi, farahnaz omidi, nor aishah hamzah

    this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. beca

  • Continuous Time Portfolio Selection under Conditional Capital at Risk

    سند علمی۲۰۱۰Gordana Dmitrasinovic-Vidovic, Ali Lari-Lavassani, Xun Li, Antony Ware

    Portfolio optimization with respect to different risk measures is of interest to both practitioners and academics. For there to be a well-defined optimal portfolio, it is important that the risk measure be coherent and quasiconvex with respect to the proportion invested in risky

  • Continuous-Time Portfolio Selection under Ambiguity∗

    سند علمی۲۰۱۴Hanqing Jin, Xun Yu Zhou

    In a financial market, the appreciation rates of stocks are statistically difficult to estimate, and typically only some confidence intervals in which the rates reside can be estimated. In this paper we study continuous-time portfolio selection under ambiguity, in the sense that

  • Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading

    مقاله‌ی دسترسی آزاد۲۰۱۷Statistics & Risk ModelingImkeRedeker, RalfWunderlich