Dynamic portfolio allocation in goals-based wealth management

DOI10.1007/S10287-019-00351-7MaRDI QIDQ2033705zbMATH OpenOpenAlexWikidataFDO

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

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

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