منابع مشابه
Optimal portfolios for logarithmic utility
We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process. c © 2000 Elsevier Science B.V. All rights reserved.
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For all $a,b>0$, the following two optimal inequalities are presented: $H^{alpha}(a,b)L^{1-alpha}(a,b)geq M_{frac{1-4alpha}{3}}(a,b)$ for $alphain[frac{1}{4},1)$, and $ H^{alpha}(a,b)L^{1-alpha}(a,b)leq M_{frac{1-4alpha}{3}}(a,b)$ for $alphain(0,frac{3sqrt{5}-5}{40}]$. Here, $H(a,b)$, $L(a,b)$, and $M_p(a,b)$ denote the harmonic, logarithmic, and power means of order $p$ of two positive numbers...
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WtNTER 2006 I nstitutional money managers develop risk models and optimal portfolios to match a desired risk/reward profile. Utility functions express risk preferences and implicitly reflect the views of fund trustees or directors. Once a manager determines a target portfolio, maintaining this balance of assets is non-trivial. A manager must rebalance actively because different asset classes ca...
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We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. 15, 1260–1305 (2005) and Fin. Stoch. 9, 429–452 (2005)). A sol...
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This article considers classes of reward-risk optimization problems that arise from different choices of reward and risk measures. In certain examples the generic problem reduces to linear or quadratic programming problems. We state an algorithm based on a sequence of convex feasibility problems for the general quasiconcave ratio problem. We also consider reward-risk ratios that are appropriate...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2000
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(00)00011-9