Add to ORKGWe consider the optimal portfolio selection problem with portfolio constraints. The portfolio constraints are represented by the closed convex sets and its support function. The closed form solution is derived for the general utility function using the martingale approach. In the case of special utility case, CRRA utility function, the optimal policies are represented explicitly when there are minimum capital requirements
A continuous-time financial portfolio selection model with expected utility maximization typically b...
[NOTE: Text or symbols not renderable in plain text are indicated by [...]. See PDF document for fu...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
This paper applies Cox-Huang [2] martingale method to solve the optimal portfolio-selection and cons...
In this paper we analyse the effects arising from imposing a Value-at-Risk constraint in an agent's ...
The problem of maximizing the expected utility from terminal wealth in the presence of a stochastic ...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
In this paper, we consider the optimal consumption and portfolio policies with the consumption habit...
In this paper, we adopt a monotone numerical scheme to solve the Hamilton-Jacobi-Bellman equation ar...
Summarization: Portfolio theory deals with the question of how to allocate resources among several c...
We consider a utility-maximization problem in a general semimartingale financial model, subject to c...
Abstract In this paper, we investigate the optimal consumption and portfolio selection problem with ...
The 'Portfolio Selection Problem' is traditionally viewed as selecting a mix of investment opportuni...
In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. T...
A continuous-time financial portfolio selection model with expected utility maximization typically b...
[NOTE: Text or symbols not renderable in plain text are indicated by [...]. See PDF document for fu...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
This paper applies Cox-Huang [2] martingale method to solve the optimal portfolio-selection and cons...
In this paper we analyse the effects arising from imposing a Value-at-Risk constraint in an agent's ...
The problem of maximizing the expected utility from terminal wealth in the presence of a stochastic ...
The article analyzes optimal portfolio choice of utility maximizing agents in a general continuous-t...
In this paper, we consider the optimal consumption and portfolio policies with the consumption habit...
In this paper, we adopt a monotone numerical scheme to solve the Hamilton-Jacobi-Bellman equation ar...
Summarization: Portfolio theory deals with the question of how to allocate resources among several c...
We consider a utility-maximization problem in a general semimartingale financial model, subject to c...
Abstract In this paper, we investigate the optimal consumption and portfolio selection problem with ...
The 'Portfolio Selection Problem' is traditionally viewed as selecting a mix of investment opportuni...
In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. T...
A continuous-time financial portfolio selection model with expected utility maximization typically b...
[NOTE: Text or symbols not renderable in plain text are indicated by [...]. See PDF document for fu...
The problem of investing money is common to citizens, families and companies. In this chapter, we in...