Convex duality in constrained portfolio optimization
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(only showing first 100 items - show all)- Optimal lifetime consumption and investment under a drawdown constraint
- Constrained nonsmooth utility maximization without quadratic inf convolution
- Standardized versus customized portfolio: a compensating variation approach
- Optimal consumption and investment under partial information
- Optimal portfolios: new variations of an old theme
- Portfolio selection with transaction costs under expected shortfall constraints
- Optimal consumption choices for a `large' investor
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Backward stochastic differential equations with constraints on the gains-process
- Optimal consumption and arbitrage in incomplete, finite state security markets
- Value preserving portfolio strategies in continuous-time models
- Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
- Optimal consumption and portfolio choice with borrowing constraints
- Hedging in incomplete markets with HARA utility
- A complete explicit solution to the log-optimal portfolio problem.
- Stochastic growth: a duality approach.
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Maximizing the probability of a perfect hedge
- Optimal insurance demand under marked point processes shocks.
- Optimal portfolio policies with borrowing and shortsale constraints
- Optimal investment consumption model with a higher interest rate for borrowing
- Risk management with multiple VaR constraints
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Non-linear filtering and optimal investment under partial information for stochastic volatility models
- Optimal asset allocation with fixed-term securities
- Non-transferable non-hedgeable executive stock option pricing
- Kim and Omberg revisited: the duality approach
- Quadratic minimization with portfolio and intertemporal wealth constraints
- Optimal investment strategies for participating contracts
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- Hedging American contingent claims with constrained portfolios under proportional transaction costs
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Recursive utility maximization for terminal wealth under partial information
- On the pricing of contingent claims under constraints
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Optimal consumption choice with intertemporal substitution
- Optimal portfolio in partially observed stochastic volatility models.
- Optimal portfolios for logarithmic utility.
- Conservative delta hedging.
- Stochastic optimization under constraints.
- Synthetic replication of American contingent claims when portfolios are constrained
- A mispricing model of stocks under asymmetric information
- Dual representation of superhedging costs in illiquid markets
- On utility maximization under convex portfolio constraints
- Cone-constrained continuous-time Markowitz problems
- Existence of optimal consumption and portfolio rules with portfolio constraints and stochastic income, durability and habit formation.
- Utility maximization with habit formation of interaction
- Recursive utility optimization with concave coefficients
- Duality for optimal consumption under no unbounded profit with bounded risk
- Optimal control of the SIR model with constrained policy, with an application to COVID-19
- Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
- On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
- A consumption-investment model with state-dependent lower bound constraint on consumption
- BSDEs and log-utility maximization for Lévy processes
- Generalization of \(h\)-convex stochastic processes and some classical inequalities
- Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems
- Utility maximization via decoupling fields
- Near-optimal asset allocation in financial markets with trading constraints
- Portfolio selection: a review
- Optimal investment and contingent claim valuation in illiquid markets
- Portfolio optimization under convex incentive schemes
- The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
- Expected utility maximization problem under state constraints and model uncertainty
- Mixed-asset portfolio allocation under mean-reverting asset returns
- Portfolio optimization under Solvency II
- Consumption in incomplete markets
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Combining statistical intervals and market prices: the worst case state price distribution
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Robust utility maximization under convex portfolio constraints
- Quadratic minimization with portfolio and terminal wealth constraints
- A dynamic programming approach to constrained portfolios
- Constrained nonsmooth utility maximization on the positive real line
- Optimal risk-sharing with effort and project choice
- Dynamic mean-variance portfolio selection with borrowing constraint
- The equity risk premium and the riskfree rate in an economy with borrowing constraints
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Optimal multi-period mean-variance policy under no-shorting constraint
- Portfolio optimization in a defaultable Lévy-driven market model
- Utility maximization in incomplete markets
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Restricted risk measures and robust optimization
- Consumption and investment with interest rate risk
- A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems
- A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
- No free lunch for markets with multiple numéraires
- A stochastic flows approach for asset allocation with hidden economic environment
- Study of constrained portfolio model on optimization of utility from terminal wealth.
- Portfolio optimization under shortfall risk constraint
- The effect of estimation in high-dimensional portfolios
- A concise characterization of optimal consumption with logarithmic preferences
- Multivariate utility maximization with proportional transaction costs and random endowment
- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
- Explicit description of HARA forward utilities and their optimal portfolios
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