PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

DOI10.1111/j.1467-9965.2006.00272.xzbMath1145.91350OpenAlexW2145775530MaRDI QIDQ5488976

Publication date: 25 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00272.x

zbMATH Keywords

Malliavin calculus Clark-Ocone formula utility maximization gradient operator optimal portfolio selection downside constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

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Cites Work