scientific article

zbMath1180.91269MaRDI QIDQ3645069

U. Jin Choi, Byung Hwa Lim

Publication date: 16 November 2009

Full work available at URL: http://www.m-hikari.com/ijcms-password2009/5-8-2009/index.html

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zbMATH Keywords

convex setsoptimal portfoliomartingale approachportfolio constraintsoptimal consumptionminimum capital requirements

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

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Portfolio optimization with wealth-dependent risk constraints ⋮ Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications ⋮ The optimal investment, liability and dividends in insurance ⋮ Near-optimal asset allocation in financial markets with trading constraints

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