Optimal portfolio strategies benchmarking the stock market
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Publication:857954
DOI10.1007/s00186-006-0091-3zbMath1132.90008OpenAlexW2066571155MaRDI QIDQ857954
Publication date: 5 January 2007
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-006-0091-3
optimal strategystochastic optimal controlportfolio optimizationmartingale methodshortfall risk constraints
Related Items (3)
Optimal investment with deferred capital gains taxes ⋮ Optimal portfolio policies under bounded expected loss and partial information ⋮ Utility Maximization Under Bounded Expected Loss
Cites Work
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- Optimal Portfolios with Bounded Capital at Risk
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Dynamic Portfolio Optimization with Bounded Shortfall Risks
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