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Continuous-time portfolio optimization under terminal wealth constraints · Study

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ArticleContinuous-time portfolio optimization under terminal wealth constraints

Ralf Korn1995

Article1995

Continuous-time portfolio optimization under terminal wealth constraints

Ralf Korn · Siegfried Trautmann

52 citations·0/0 files stored·Mathematical Methods of Operations Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Economic theories and models

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 1992Convex Duality in Constrained Portfolio Optimization 1991Mean-Variance Hedging in Continuous Time 1989Optimization Problems in the Theory of Continuous Trading 1994Approximating Random Variables by Stochastic Integrals

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2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION 2013Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection 2007Implications of the Sharpe ratio as a performance measure in multi-period settings 2009Asset-Liability Management Under the Safety-First Principle 2005Optimal portfolios with a positive lower bound on final wealth 2013Cone-constrained continuous-time Markowitz problems

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Year1995

Typearticle

Published1995-02-01

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations52

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ShelfRisk and Portfolio Optimization

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doi10.1007/bf01415674

openalex_workW2027659481

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2014

Complete markets do not allow free cash flow streams