Optimal portfolio policies with borrowing and shortsale constraints
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Publication:1583148
DOI10.1016/S0165-1889(99)00089-5zbMath0967.91021OpenAlexW2019425677WikidataQ127807462 ScholiaQ127807462MaRDI QIDQ1583148
Publication date: 26 October 2000
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00089-5
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Related Items (9)
Constrained non-concave utility maximization: an application to life insurance contracts with guarantees ⋮ Dynamic mean-variance portfolio selection with borrowing constraint ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics ⋮ A geometric approach to multiperiod mean variance optimization of assets and liabilities ⋮ A dynamic autoregressive expectile for time-invariant portfolio protection strategies ⋮ Effectiveness of CPPI strategies under discrete-time trading
Cites Work
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Convex duality in constrained portfolio optimization
- A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- An Optimal Investment/Consumption Model with Borrowing
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