Optimal portfolio policies with borrowing and shortsale constraints
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Publication:1583148
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Cites work
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
- An Optimal Investment/Consumption Model with Borrowing
- Convex duality in constrained portfolio optimization
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
Cited in
(21)- Labor income, borrowing constraints, and equilibrium asset prices
- Optimal consumption and portfolio choice with borrowing constraints
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- A dynamic autoregressive expectile for time-invariant portfolio protection strategies
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Effectiveness of CPPI strategies under discrete-time trading
- Dynamic mean-variance portfolio selection with borrowing constraint
- Safety-first principle for constraints of borrowing/lending and risky investment
- Minimum return guarantees, investment caps, and investment flexibility
- Evaluating Portfolio Policies: A Duality Approach
- Calculation of Investment Portfolios with Risk Free Borrowing and Lending
- Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
- Maximizing survival, growth and goal reaching under borrowing constraints
- Multiple Optimal Solutions in the Portfolio Selection Model with Short-Selling
- Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
- A note on portfolio selection with restrictions on leverage
- Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming
- Minimum return guarantees with fund switching rights -- an optimal stopping problem
- Some stability results of optimal investment in an Itô-Markov additive market
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
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