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  • Search: subject:"portfolio problem"
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Year of publication
Subject
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Portfolio selection 5 Portfolio-Management 5 Theorie 4 Theory 4 Capital income 2 Kapitaleinkommen 2 Mathematical programming 2 Mathematische Optimierung 2 Merton portfolio problem 2 Risiko 2 Risk 2 equilibrium strategies 2 investment-consumption problem 2 non-exponential discounting 2 stochastic maximum principle 2 stochastic optimization 2 time inconsistency 2 Asset Allocation 1 Consumption theory 1 Decision under risk 1 Discounting 1 Diskontierung 1 Dynamic programming 1 Dynamische Optimierung 1 Entscheidung unter Risiko 1 Illiquidity 1 Institutional investor 1 Institutioneller Investor 1 Intertemporal choice 1 Intertemporale Entscheidung 1 Investment Fund 1 Investmentfonds 1 Konsumtheorie 1 Lagrangian 1 Limited Partner 1 Malliavin calculus 1 Measurement 1 Messung 1 Multivariate Verteilung 1 Multivariate distribution 1
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Online availability
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Free 6 CC license 1
Type of publication
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Article 3 Book / Working Paper 3
Type of publication (narrower categories)
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Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3 Article in journal 2 Aufsatz in Zeitschrift 2 Article 1
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Language
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English 6
Author
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Alia, Ishak 2 Chighoub, Farid 2 Khelfallah, Nabil 2 Vives, Josep 2 Athayde, Gustavo M. de 1 Flôres Júnior, Renato G. 1 Giommetti, Nicola 1 Ishimura, Naoyuki 1 Molina Barreto, Andres Mauricio 1 Saito, Taiga 1 Sørensen, Morten 1 Takahashi, Akihiko 1
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Published in...
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CIRJE discussion papers / F series 1 Ensaios econômicos 1 Intelligent systems in accounting, finance & management 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Tuck School of Business working paper / Tuck School of Business at Dartmouth 1
Source
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ECONIS (ZBW) 5 EconStor 1
Showing 1 - 6 of 6
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Remarks on a copula-based conditional value at risk for the portfolio problem
Molina Barreto, Andres Mauricio; Ishimura, Naoyuki - In: Intelligent systems in accounting, finance & management 30 (2023) 3, pp. 150-170
Persistent link: https://www.econbiz.de/10014375330
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A unified view on the optimal solutions to the threemoments portfolio problem
Athayde, Gustavo M. de; Flôres Júnior, Renato G. - 2022
Persistent link: https://www.econbiz.de/10013426584
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Time-consistent investment and consumption strategies under a general discount function
Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-27
In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the class of open-loop controls that are characterized, in...
Persistent link: https://www.econbiz.de/10012611643
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Optimal allocation to private equity
Giommetti, Nicola; Sørensen, Morten - 2021
We study the asset allocation problem of an institutional investor (LP) that invests in stocks, bonds, and private equity (PE). PE investments are risky, illiquid, and long-term. The LP repeatedly commits capital to PE funds, and this capital is gradually called and eventually distributed back...
Persistent link: https://www.econbiz.de/10012584452
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Time-consistent investment and consumption strategies under a general discount function
Alia, Ishak; Chighoub, Farid; Khelfallah, Nabil; Vives, … - In: Journal of risk and financial management : JRFM 14 (2021) 2/86, pp. 1-27
In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the class of open-loop controls that are characterized, in...
Persistent link: https://www.econbiz.de/10012484346
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Cover Image
Portfolio optimization with choice of a probability measure
Saito, Taiga; Takahashi, Akihiko - 2020 - Revised in December 2021 and March 2022
Persistent link: https://www.econbiz.de/10013336334
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