Convex duality in constrained portfolio optimization
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Cited in
(only showing first 100 items - show all)- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
- Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
- Recursive utility optimization with concave coefficients
- Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
- Duality in static hedging of barrier options
- EQUITY ALLOCATION AND PORTFOLIO SELECTION IN INSURANCE: A SIMPLIFIED PORTFOLIO MODEL
- Delegated dynamic portfolio management under mean-variance preferences
- Optimal investment strategies for participating contracts
- Optimal investment consumption model with a higher interest rate for borrowing
- Optimal asset allocation with fixed-term securities
- Non-transferable non-hedgeable executive stock option pricing
- Kim and Omberg revisited: the duality approach
- On a Class of Quadratic Growth RBSDE with Jumps and Its Application
- Consumption and investment under constraints
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Systemic optimal risk transfer equilibrium
- Optimal consumption, investment and life insurance with surrender option guarantee
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- Study of constrained portfolio model on optimization of utility from terminal wealth.
- On the construction of optimal payoffs
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
- On Hermite-Hadamard type inequalities for \(n \)-polynomial convex stochastic processes
- Optimal portfolio selection strategies under some constraints
- Nonlinear taxation, tax-arbitrage and equilibrium asset prices
- Special issue: Arbitrage and control problems in finance
- Standardized versus customized portfolio: a compensating variation approach
- On utility maximization under model uncertainty in discrete‐time markets
- Non-linear filtering and optimal investment under partial information for stochastic volatility models
- Optimal portfolios with a positive lower bound on final wealth
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Pricing and hedging option under portfolio constrained
- Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models
- Risk management with multiple VaR constraints
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Utility maximization under \(g^\ast\)-expectation
- Explicit description of HARA forward utilities and their optimal portfolios
- Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
- Quadratic minimization with portfolio and intertemporal wealth constraints
- Quadratic minimization with portfolio and terminal wealth constraints
- Duality in a Problem of Static Partial Hedging under Convex Constraints
- Stochastic growth: a duality approach.
- Expected utility maximization problem under state constraints and model uncertainty
- Optimal diversification in the presence of parameter uncertainty for a risk averse investor
- Multivariate utility maximization with proportional transaction costs and random endowment
- Optimal consumption and portfolio selection with portfolio constraints
- Value preserving portfolio strategies in continuous-time models
- Investment optimization under constraints.
- Portfolio optimization under shortfall risk constraint
- Optimal consumption and arbitrage in incomplete, finite state security markets
- Synthetic replication of American contingent claims when portfolios are constrained
- On dynamic programming equations for utility indifference pricing under delta constraints
- Dynamic convex duality in constrained utility maximization
- Illiquidity, position limits, and optimal investment for mutual funds
- Dual representation of superhedging costs in illiquid markets
- Optimal consumption and investment under partial information
- A dynamic programming approach to constrained portfolios
- On utility maximization under convex portfolio constraints
- Optimal investment and contingent claim valuation in illiquid markets
- Portfolio selection: a review
- Portfolio selection with transaction costs under expected shortfall constraints
- Optimal insurance demand under marked point processes shocks.
- A stochastic flows approach for asset allocation with hidden economic environment
- A concise characterization of optimal consumption with logarithmic preferences
- Hedging American contingent claims with constrained portfolios under proportional transaction costs
- A complete explicit solution to the log-optimal portfolio problem.
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Optimal Investment-consumption for Partially Observed Jump-diffusions
- Maximizing the probability of a perfect hedge
- OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Utility maximization in incomplete markets
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Optimal investment, consumption-leisure, insurance and retirement choice
- Portfolio optimization in a defaultable Lévy-driven market model
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Robust utility maximization under convex portfolio constraints
- Optimal risk-sharing with effort and project choice
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints
- Utility maximization with convex constraints and partial information
- MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
- Portfolio optimization with a guaranteed minimum maturity benefit and risk-adjusted fees
- Dynamic mean-variance portfolio selection with borrowing constraint
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Optimal consumption choices for a `large' investor
- Optimal longevity risk transfer and investment strategies
- Continuous-time portfolio optimization under terminal wealth constraints
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Numerical methods for portfolio selection with bounded constraints
- Optimal portfolios for logarithmic utility.
- Optimal lifetime consumption and investment under a drawdown constraint
- Optimal reinsurance/investment problems for general insurance models
- Optimal multi-period mean-variance policy under no-shorting constraint
- Introduction to convex optimization in financial markets
- Generalization of \(h\)-convex stochastic processes and some classical inequalities
- Forward-backward systems for expected utility maximization
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
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