PORTFOLIO MANAGEMENT WITH CONSTRAINTS (Q5427659)

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scientific article; zbMATH DE number 5213436

Language	Label	Description	Also known as
English	PORTFOLIO MANAGEMENT WITH CONSTRAINTS	scientific article; zbMATH DE number 5213436

Statements

scholarly article

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PORTFOLIO MANAGEMENT WITH CONSTRAINTS (English)

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Phelim P. Boyle

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Mathematical Finance

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publication date

21 November 2007

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zbMATH Keywords

portfolio selection

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nonconvex constraints

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beating benchmark

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9965.2007.00306.x

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Risk Management with Benchmarking

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Reaching goals by a deadline: digital options and continuous-time active portfolio management

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On dynamic measure of risk

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Quantile hedging

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Optimal portfolio management with American capital guarantee

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Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

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Optimum consumption and portfolio rules in a continuous-time model

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Maximizing the probability of a perfect hedge

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Optimal investment with minimum performance constraints

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Risk aversion and allocation to long-term bonds.

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Identifiers

zbMATH Open document ID

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10.1111/j.1467-9965.2007.00306.x

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5427659

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