Optimal investment with minimum performance constraints
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Publication:5958102
DOI10.1016/S0165-1889(99)00066-4zbMath0996.91058OpenAlexW2045501766WikidataQ126323880 ScholiaQ126323880MaRDI QIDQ5958102
Publication date: 3 March 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00066-4
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- A variational problem arising in financial economics
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Theory of constant proportion portfolio insurance
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Consumption and investment under constraints
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