Finite horizon portfolio selection with a negative wealth constraint

DOI10.1016/j.cam.2019.02.008zbMath1410.91420OpenAlexW2914598168WikidataQ128360274 ScholiaQ128360274MaRDI QIDQ2423686

Yong Hyun Shin, Junkee Jeon

Publication date: 20 June 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.02.008

zbMATH Keywords

Mellin transformfree boundary problemsportfolio selectionnegative wealth constraints

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Portfolio theory (91G10)

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An optimal consumption and investment problem with stochastic hyperbolic discounting, Reconciling mean-variance portfolio theory with non-Gaussian returns

Cites Work

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