Value preserving portfolio strategies in continuous-time models

DOI10.1007/BF01194246zbMath0880.90007OpenAlexW2076765331MaRDI QIDQ1360868

Ralf Korn

Publication date: 1997

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

Full work available at URL: https://doi.org/10.1007/bf01194246

zbMATH Keywords

constrained marketscontinuous-time portfolio strategiesdiffusion and jump modelsvalue preservation

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items

Value management ⋮ Portfolio selection subject to growth objectives ⋮ AN AXIOMATIC APPROACH TO SUSTAINABILITY ⋮ Value preserving portfolio strategies and the minimal martingale measure

Cites Work

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• Asset pricing for general processes
• Martingales and stochastic integrals in the theory of continuous trading
• Convex duality in constrained portfolio optimization
• Hedging contingent claims with constrained portfolios
• Optimization Problems in the Theory of Continuous Trading
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• Continuous-time portfolio optimization under terminal wealth constraints

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