Optimal investment with minimum performance constraints under dynamic reference point

DOI10.7631/ISSN.1000-2243.16395MaRDI QIDQ4574890zbMATH OpenFDO

Authors Shuangxia Hu, Jinghai Wang

Publication date 18 July 2018

Full work available at URL https://doi.org/10.7631/ISSN.1000-2243.16395

zbMATH Keywords

dynamic reference pointequivalent substitutionloss aversionmartingale methodminimum revenue constraint

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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• scientific article; zbMATH DE number 6130031

Cited in

(8)

• On dynamic investment strategies
• Optimal investment strategies with a minimum performance constraint
• INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
• Failing to foresee the updating of the reference point leads to time-inconsistent investment
• Optimal investment with minimum performance constraints
• Optimal investment based on relative performance and weighted utility
• Optimal investment with noise trading risk
• Optimal investment strategies with a reallocation constraint

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