Continuous-time portfolio optimization under terminal wealth constraints

DOI10.1007/BF01415674zbMath0836.90011MaRDI QIDQ4845095

Siegfried Trautmann, Ralf Korn

Publication date: 18 October 1995

Published in: [https://portal.mardi4nfdi.de/entity/Q3031760 ZOR Zeitschrift f�r Operations Research Methods and Models of Operations Research] (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01415674

zbMATH Keywords

expected utility; portfolio analysis; complete markets; mean-variance approach; martingale method; terminal wealth constraints

Mathematics Subject Classification ID

91B62: Economic growth models

91G10: Portfolio theory

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