Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation

DOI10.1007/S00186-022-00772-2zbMATH Open1484.91419OpenAlexW3129799581MaRDI QIDQ2123124FDOQ2123124

Authors: Marcos Escobar Anel, Michel Kschonnek, R. Zagst 

Publication date: 8 April 2022

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-022-00772-2

Recommendations

• Study of constrained portfolio model on optimization of utility from terminal wealth.
• Convex duality in constrained portfolio optimization
• Optimal consumption and portfolio selection with portfolio constraints
• Robust utility maximization under convex portfolio constraints
• On utility maximization under convex portfolio constraints

zbMATH Keywords

utility maximizationconcavificationdynamic portfolio optimizationHJBallocation constraintsterminal wealth constraints

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20)

Cites Work

• Optimal Transport
• Convex Analysis
• Optimum consumption and portfolio rules in a continuous-time model
• Controlled Markov processes and viscosity solutions
• Portfolio Selection with Transaction Costs
• Advances in prospect theory: cumulative representation of uncertainty
• Hedging contingent claims with constrained portfolios
• Optimal investment and consumption with transaction costs
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• On utility maximization under convex portfolio constraints
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Convex duality in constrained portfolio optimization
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Optimal investment with minimum performance constraints
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• On using shadow prices in portfolio optimization with transaction costs
• Consumption-Investment Models with Constraints
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• A dynamic programming approach to constrained portfolios
• Consumption and investment under constraints
• Dual formulation of the utility maximization problem: the case of nonsmooth utility.
• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Title not available (Why is that?)
• Optimal portfolio choice for a behavioural investor in continuous-time markets
• Optimal consumption and investment with liquid and illiquid assets
• Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
• Less is more: increasing retirement gains by using an upside terminal wealth constraint
• Dynamic convex duality in constrained utility maximization
• Optimal consumption of a divisible durable good
• Optimal portfolios with a positive lower bound on final wealth
• Portfolio optimization under the Value-at-Risk constraint
• Risk management with multiple VaR constraints
• Smooth value functions for a class of nonsmooth utility maximization problems
• Optimal asset allocation with fixed-term securities
• Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
• Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
• Portfolio optimization under Solvency II
• Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models

Cited In (4)

• Study of constrained portfolio model on optimization of utility from terminal wealth.
• Multiple Constraints and Hicksian Complementarity: A Generalization and an Application to Portfolio Choice
• Portfolio optimization with a prescribed terminal wealth distribution
• Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model

This page was built for publication: Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2123124)