Continuous-time portfolio optimization under terminal wealth constraints

Continuous-time portfolio optimization under terminal wealth constraints

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Article ID: iaor19961649
Country: Germany
Volume: 42
Issue: 1
Start Page Number: 69
End Page Number: 92
Publication Date: Jul 1995
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: ,
Keywords: portfolio analysis
Abstract:

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. The authors give a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints. Moreover, they propose a solution method for such constrained problems.

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