Search Results - subject:"portfolio constraints"

Portfolio optimization with wealth-dependent risk constraints

Escobar, Marcos; Wahl, Markus; Zagst, Rudi - In: Scandinavian actuarial journal 2022 (2022) 3, pp. 244-268

Persistent link: https://www.econbiz.de/10013370501

Nonconcave utility maximization with portfolio bounds

Dai, Min; Kou, Steven; Qian, Shuaijie; Wan, Xiangwei - In: Management science : journal of the Institute for … 68 (2022) 11, pp. 8368-8385

Persistent link: https://www.econbiz.de/10014280204

Constrained dynamic futures portfolios with stochastic basis

Chen, Xiaodong; Leung, Tim; Zhou, Yang - In: Annals of finance 18 (2022) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10013194629

Justifying mean-variance portfolio selection when asset returns are skewed

Schuhmacher, Frank; Kohrs, Hendrik; Auer, Benjamin R. - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7812-7824

Persistent link: https://www.econbiz.de/10012815763

On the quasi-sure superhedging duality with frictions

Bayraktar, Erhan; Burzoni, Matteo - In: Finance and stochastics 24 (2020) 1, pp. 249-275

Persistent link: https://www.econbiz.de/10012253347

Capital asset market equilibrium with liquidity risk, portfolio constraints, and asset price bubbles

Jarrow, Robert A. - In: Mathematics and financial economics 13 (2019) 1, pp. 115-146

Persistent link: https://www.econbiz.de/10012055755

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013

While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...

Persistent link: https://www.econbiz.de/10010330268

Existence of equilibria via quasi-equilibria.

Cornet, Bernard; Ranjan, Abhishek - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

portfolio constraints. There is a market for physical commodities for every state today and tomorrow, and financial transfers …

Persistent link: https://www.econbiz.de/10010617545

Existence of equilibria via quasi-equilibria

Cornet, Bernard; Ranjan, Abhishek - HAL - 2013

portfolio constraints. There is a market for physical commodities for every state today and tomorrow, and financial transfers …

Persistent link: https://www.econbiz.de/10010635186

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

Persistent link: https://www.econbiz.de/10009787073