Optimal Sure Portfolio Plans

DOI10.1111/j.1467-9965.1991.tb00008.xzbMath0900.90050OpenAlexW1989818150MaRDI QIDQ4345909

Lucien Foldes

Publication date: 31 August 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00008.x

zbMATH Keywords

optimizationsemimartingalesinvestmentrandom measuresportfoliosprocesses with independent increments

Mathematics Subject Classification ID

Related Items (3)

Risk-sensitive benchmarked asset management ⋮ Minimal entropy preserves the Lévy property: how and why ⋮ NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Maximum theorems for convex structures with an application to the theory of optimal intertemporal allocation
• Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
• Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
• Optimal Saving and Risk in Continuous Time
• Survey of Measurable Selection Theorems
• Quelques applications de la formule de changement de variables pour les semimartingales

This page was built for publication: Optimal Sure Portfolio Plans