Standardized versus customized portfolio: a compensating variation approach

DOI10.1007/s10479-008-0447-6zbMath1163.91392OpenAlexW2077872973MaRDI QIDQ1026546

Jean-Luc Prigent, André de Palma

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0447-6

Mathematics Subject Classification ID

Related Items (4)

On the robustness of portfolio allocation under copula misspecification ⋮ On the optimality of path-dependent structured funds: the cost of standardization ⋮ Near-optimal asset allocation in financial markets with trading constraints ⋮ Mixed-asset portfolio allocation under mean-reverting asset returns

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Monte Carlo computation of optimal portfolios in complete markets
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Convex duality in constrained portfolio optimization
• Optimization of consumption with labor income
• Stochastic Interest Rates and the Bond-Stock Mix
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• An equilibrium characterization of the term structure
• On optimal portfolio choice under stochastic interest rates

This page was built for publication: Standardized versus customized portfolio: a compensating variation approach