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Keyword: portfolio management
Found
84 papers
in total
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Optimal control of the portfolio
2001,
Kibzun A.I.
Consideration was given to the optimal control of the bilinear system describing the...
Minimizing expected loss of hedging in incomplete and constrained markets
2000,
Cvitanic J.
We study the problem of minimizing the expected discounted loss when hedging a...
Portfolio optimization: Volatility constraints versus shortfall constraints
1999,
Kalin D.
In this paper we examine two models of portfolio optimization. Volatility (standard...
Price systems constructed by optimal dynamic portfolios
2000,
Schl M.
The paper studies connections between arbitrage and utility maximization in a...
Optimal control of option portfolios and applications
1999,
Korn R.
We present an expected utility maximisation framework for optimally controlling a...
Optimal portfolio choice under a liability constraint
2000,
Zaremba Leszek S.
The problem of characterizing the least expensive bond portfolio that enables one to...
Timber harvest scheduling with price uncertainty using Markowitz portfolio optimization
2000,
Haight Robert G.
Harvest scheduling models need to account for uncertain revenue predictions when...
Growth-oriented portfolio selection based on stochastic holding periods
2000,
Burkhardt T.
Based on the concept of time optimal portfolio selection, a specific model is...
Interactive decision system in stochastic multiobjective portfolio selection
1999,
Nagasawa Hiroyuki
Some investors pursuing a high return at the relatively high risk of losing a part of...
Risk sensitive portfolio optimization
1999,
Stettner L.
In the paper discrete time portfolio selection with maximization of the risk...
Optimal investment and consumption models with non-linear stock dynamics
1999,
Zariphopoulou T.
We study a generalization of the Merton's original problem of optimal consumption and...
From stochastic dominance to mean-risk models: Semideviations as risk measures
1999,
Ogryczak Wodzimierz
Two methods are frequently used for modeling the choice among uncertain outcomes:...
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