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: | Korn R., Trautmann S. |
Keywords: | portfolio analysis |
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.