Optimal portfolios: new variations of an old theme

DOI10.1007/s10287-007-0054-zzbMath1175.91159OpenAlexW2168914049MaRDI QIDQ1031945

Ralf Korn

Publication date: 23 October 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-007-0054-z

zbMATH Keywords

derivativescontinuous-time portfolio optimizationworst-case control

Mathematics Subject Classification ID

Nonlinear programming (90C30) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Portfolio optimization in a regime-switching market with derivatives

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Worst-case scenario portfolio optimization: a new stochastic control approach
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Convex duality in constrained portfolio optimization
• Optimal control of option portfolios and applications
• Processes of normal inverse Gaussian type
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Hyperbolic distributions in finance
• Worst-case scenario investment for insurers
• Portfolio problems stopping at first hitting time with application to default risk
• OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
• The relaxed investor and parameter uncertainty