Continuous-time portfolio optimization under terminal wealth constraints

DOI10.1007/BF01415674zbMath0836.90011OpenAlexW2027659481MaRDI QIDQ4845095

Siegfried Trautmann, Ralf Korn

Publication date: 18 October 1995

Published in: [https://portal.mardi4nfdi.de/entity/Q3031760 ZOR Zeitschrift f�r Operations Research Methods and Models of Operations Research] (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01415674

zbMATH Keywords

expected utilityportfolio analysiscomplete marketsmean-variance approachmartingale methodterminal wealth constraints

Mathematics Subject Classification ID

Economic growth models (91B62) Portfolio theory (91G10)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Mean-variance hedging in continuous time
• Convex duality in constrained portfolio optimization
• Optimization Problems in the Theory of Continuous Trading
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Unnamed Item

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