Managing a value-preserving portfolio over time

DOI10.1016/0377-2217(96)88172-0zbMath0924.90028OpenAlexW2101248058MaRDI QIDQ1278210

Thomas Wiesemann

Publication date: 22 February 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-2217(96)88172-0

zbMATH Keywords

variational inequalityfinancemartingale approachportfolio and consumption policyvalue-preserving

Mathematics Subject Classification ID

Consumer behavior, demand theory (91B42)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Finite-dimensional variational inequality and nonlinear complementarity problems: A survey of theory, algorithms and applications
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Present value based portfolio choice
• On some non-linear elliptic differential functional equations
• Temporary General Equilibrium Theory
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹

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