Continuous time portfolio optimization

MaRDI QIDQ2944277zbMATH OpenFDO

Authors Alireza Bahiraie, B. Abbasi, Farahnaz Omidi, Nor Aishah Hamzah, Abdul Hadi Yaakub

Publication date 31 August 2015

Full work available at URL http://www.ijnaa.semnan.ac.ir/pdf_258_26d4202f026c7d6f33f6c8ca548a8f67.html

zbMATH Keywords

dynamic optimizationinvestment strategyportfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(11)

• Value preserving portfolio strategies in continuous-time models
• Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
• Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication
• Study on optimization of a dynamic portfolio insurance model
• scientific article; zbMATH DE number 5713277 (Why is no real title available?)
• scientific article; zbMATH DE number 2013274 (Why is no real title available?)
• Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
• scientific article; zbMATH DE number 1874299 (Why is no real title available?)
• Diversified Portfolios in Continuous Time *
• Modelling the Cognitive Financial Group Interconnected Risk Network
• Synthetic options, portfolio insurance, and contingent immunization

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