OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION

DOI10.1142/S0219024906003883zbMath1138.91460OpenAlexW2003754680MaRDI QIDQ5487832

Hailiang Yang, Kai Wang Ng, Ken Seng Tan, Zhong-Fei Li

Publication date: 12 September 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003883

zbMATH Keywords

Black-Scholes modeldynamic portfolio optimizationearnings-at-riskconstant-rebalanced portfolios

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (1)

Reactive investment strategies

Cites Work

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• Theory of constant proportion portfolio insurance
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• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Coherent Measures of Risk
• Optimal Portfolios with Bounded Capital at Risk
• Universal Portfolios
• On‐Line Portfolio Selection Using Multiplicative Updates
• Safety First and the Holding of Assets

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