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A dynamic programming approach to constrained portfolios · Study

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ArticleA dynamic programming approach to constrained portfolios

Holger Kraft B2013

Article2013

A dynamic programming approach to constrained portfolios

Holger Kraft B · Mogens Steffensen

56 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1991Continuous-Time Finance.1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1979The valuation of compound options 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

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2013Optimal consumption, investment and life insurance with surrender option guarantee 2020Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts 2018Communication and personal selection of pension saver’s financial risk 2015Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

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Year2013

Typearticle

Published2013-03-13

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations56

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2013.02.039

openalex_workW2164376157

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