Optimal portfolio choice and consistent performance

DOI10.1007/s10203-013-0154-xzbMath1398.91512OpenAlexW2020760886MaRDI QIDQ2343112

Xianzhe Chen, Weidong Tian

Publication date: 4 May 2015

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-013-0154-x

zbMATH Keywords

portfolio choiceasset managementconsistent performance

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

A portfolio choice problem under risk capacity constraint

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Pension funds with a minimum guarantee: a stochastic control approach
• Optimal portfolio management with American capital guarantee
• Equilibrium impact of value-at-risk regulation
• Optimal consumption choice with intolerance for declining standard of living
• On intertemporal preferences in continuous time. The case of certainty
• Theory of constant proportion portfolio insurance
• Optimization of consumption with labor income
• Optimal consumption choice with intertemporal substitution
• Optimal Control under Stochastic Target Constraints
• Optimal Dynamic Trading Strategies with Risk Limits
• On some exponential functionals of Brownian motion
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS

This page was built for publication: Optimal portfolio choice and consistent performance