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  • Search: subject:"Terminal wealth constraints"
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Year of publication
Subject
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Allocation constraints 2 Concavification 2 Dynamic portfolio optimization 2 HJB 2 Terminal wealth constraints 2 Utility maximization 2 Allocation 1 Allokation 1 Mathematical programming 1 Mathematische Optimierung 1 Nutzen 1 Nutzenfunktion 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1 Utility 1 Utility function 1
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Online availability
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Free 2
Type of publication
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Article 2
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Kschonnek, Michel 2 Zagst, Rudi 2 Escobar, Marcos 1 Escobar-Anel, Marcos 1
Published in...
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Mathematical Methods of Operations Research 1 Mathematical methods of operations research : ZOR 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Escobar-Anel, Marcos; Kschonnek, Michel; Zagst, Rudi - In: Mathematical Methods of Operations Research 95 (2022) 1, pp. 101-140
We consider a portfolio optimization problem for a utility maximizing investor who is simultaneously restricted by convex constraints on portfolio allocation and upper and lower bounds on terminal wealth. After introducing a capped version of the Legendre–Fenchel-transformation, we use it to...
Persistent link: https://www.econbiz.de/10015328812
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Cover Image
Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Escobar, Marcos; Kschonnek, Michel; Zagst, Rudi - In: Mathematical methods of operations research : ZOR 95 (2022) 1, pp. 101-140
Persistent link: https://www.econbiz.de/10013184223
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