Continuous-time portfolio optimization under terminal wealth constraints

نویسندگان

  • Ralf Korn
  • Siegfried Trautmann
چکیده

Typically portfolio analysis is based on the expected utility or the mean-variance approach. Although the expected utility approach is the more general one, practitioners still appreciate the mean-variance approach. We give a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints. Moreover, we propose a solution method for such constrained problems.

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عنوان ژورنال:
  • Math. Meth. of OR

دوره 42  شماره 

صفحات  -

تاریخ انتشار 1995