Dynamic portfolio allocation in goals-based wealth management

DOI10.1007/S10287-019-00351-7OpenAlexW3124387074WikidataQ127755450 ScholiaQ127755450MaRDI QIDQ2033705FDOQ2033705

Daniel N. Ostrov, Sanjiv R. Das, Deep Srivastav, Anand Radhakrishnan

Publication date: 17 June 2021

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-019-00351-7

zbMATH Keywords

goalsefficient portfoliosdynamic portfoliosbehavioral portfolio theorywealth management

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Applications of Stochastic Programming
• Prospect Theory: An Analysis of Decision under Risk
• Introduction to Stochastic Programming
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Safety First and the Holding of Assets
• Reaching goals by a deadline: digital options and continuous-time active portfolio management
• Risk-Constrained Dynamic Active Portfolio Management
• Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time

Cited In (2)

• Financial planning with fractional goals
• Dynamic asset allocation when bequests are luxury goods

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