Long-term optimal portfolios with floor
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Publication:1761450
DOI10.1007/s00780-012-0175-2zbMath1251.91056OpenAlexW2074465818MaRDI QIDQ1761450
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-012-0175-2
portfolio insurancelong-term investmentCPPIOBPIdynamic fund protectionrisk-sensitive portfolio optimizationAmerican perpetual optionfloor constraintperpetual lookback option
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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Risk-sensitive portfolio optimization with two-factor having a memory effect ⋮ Optimal Tracking Portfolio with a Ratcheting Capital Benchmark
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