Maximizing survival, growth and goal reaching under borrowing constraints (Q4683118): Difference between revisions

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+.6385
@@ Property / arXiv ID: 1209.6385 / rank @@
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+Minimizing the probability of lifetime ruin under borrowing constraints
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+Arbitrage Theory in Continuous Time
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+Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
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+Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
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+Optimal consumption choices for a `large' investor
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+Convex duality in constrained portfolio optimization
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Portfolio Selection with Transaction Costs
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+An Optimal Investment/Consumption Model with Borrowing
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+Optimum consumption and portfolio rules in a continuous-time model
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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+A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
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+Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
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+Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
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+Consumption-Investment Models with Constraints
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