Search Results - subject:"Minimum constant portfolio"

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Optimal portfolio choice with crash and default risk

Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-31

Persistent link: https://www.econbiz.de/10013371220

Optimal portfolios in the presence of stress scenarios : a worst-case approach

Korn, Ralf; Müller, Lukas - In: Mathematics and financial economics 16 (2022) 1, pp. 153-185

Persistent link: https://www.econbiz.de/10013167740

Optimal portfolios in the presence of stress scenarios A worst-case approach

Korn, Ralf; Müller, Lukas - In: Mathematics and Financial Economics 16 (2021) 1, pp. 153-185

minimum constant portfolio processes, we generalize the traditional concepts of the indifference frontier and the indifference …-optimality principle. We prove the existence of a minimum constant portfolio process that is optimal for the multi-stress worst …

Persistent link: https://www.econbiz.de/10014501724