Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios

We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation is derived via a mean-variance argument. It is also embedded into a framework for local approaches to the problem of portfolio optimization. Copyright Blackwell Publishers, Inc..

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Year of publication:	2000
Authors:	Korn, Ralf
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 10.2000, 2, p. 227-241
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008609905