Showing 1 - 6 of 6
This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that...
Persistent link: https://www.econbiz.de/10013113357
Persistent link: https://www.econbiz.de/10009757976
This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that...
Persistent link: https://www.econbiz.de/10009572858
Persistent link: https://www.econbiz.de/10011296745
Persistent link: https://www.econbiz.de/10014500193
This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that...
Persistent link: https://www.econbiz.de/10010311801