Search Results - subject:"Portfolio constraints"

Existence of financial equilibria with restricted participation

Cornet, Bernard; Aouani, Zaier - Department of Economics, University of Kansas - 2009

and portfolio constraints. There is a market for physical commodities at any state today or tomorrow and financial … a consequence of an auxiliary result, also of interest for itself, in which agents’ portfolio constraints are defined by …

Persistent link: https://www.econbiz.de/10008509095

When terminal facelift enforces delta constraints

Chassagneux, Jean-François; Elie, Romuald; Kharroubi, Idris - In: Finance and Stochastics 19 (2015) 2, pp. 329-362

<Para ID="Par1">This paper deals with the superreplication of non-path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding superreplication price of a given claim has been widely studied in the literature, and its terminal value, which...</para>

Persistent link: https://www.econbiz.de/10011241204

When terminal facelift enforces delta constraints

Chassagneux, Jean-François; Elie, Romuald; Kharroubi, Idris - In: Finance and stochastics 19 (2015) 2, pp. 329-362

Persistent link: https://www.econbiz.de/10011417951

Portfolio constraints, differences in beliefs and bubbles

Bidian, Florin - In: Journal of mathematical economics 61 (2015), pp. 317-326

Persistent link: https://www.econbiz.de/10011573911

Bubbles and multiplicity of equilibria under portfolio constraints

Hugonnier, Julien - 2008

explicitly solved examples where seemingly innocuous portfolio constraints make bubbles a necessary condition for the existence …This article shows that, as long as agents are required to maintain positive wealth, the presence of portfolio … constraints may give rise to asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can …

Persistent link: https://www.econbiz.de/10005222557

The benefits of differential variance-based constraints in portfolio optimization

Levy, Haim; Levy, Moshe - In: European Journal of Operational Research 234 (2014) 2, pp. 372-381

The main problem of portfolio optimization is parameter estimation error. Various methods have been suggested to mitigate this problem, among which are shrinkage, resampling, Bayesian updating, naïve diversification, and imposing constraints on the portfolio weights. This study suggests two...

Persistent link: https://www.econbiz.de/10011052537

60 Years of portfolio optimization: Practical challenges and current trends

Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J. - In: European Journal of Operational Research 234 (2014) 2, pp. 356-371

The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making. In light of the 60year anniversary of Harry Markowitz’s paper “Portfolio Selection,” we review some of the approaches...

Persistent link: https://www.econbiz.de/10011052731

The benefits of differential variance-based constraints in portfolio optimization

Levy, Haim; Levy, Moshe - In: European journal of operational research : EJOR 234 (2014) 2, pp. 372-381

Persistent link: https://www.econbiz.de/10010356754

60 years portfolio optimization : practical challenges and current trends

Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 356-371

Persistent link: https://www.econbiz.de/10010356756

Incomplete markets with endogenous portfolio constraints and redundant assets

Hahn, Guangsug - In: Seoul journal of economics 27 (2014) 4, pp. 469-488

Persistent link: https://www.econbiz.de/10010472777