scientific article; zbMATH DE number 5008178

MaRDI QIDQ3371139zbMATH OpenFDO

Authors Kai Wang Ng, Ken Seng Tan, Hailiang Yang, Zhongfei Li

Publication date 21 February 2006

zbMATH Keywords

Black-Scholes modelconstant-rebalanced portfoliosearnings-at-risk

Mathematics Subject Classification ID

Numerical methods based on nonlinear programming (49M37) Management decision making, including multiple objectives (90B50) Applications of mathematical programming (90C90) Economic growth models (91B62) Portfolio theory (91G10)

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Cited in

(11)

• Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
• Closed-form solutions to discrete-time portfolio optimization problems
• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
• A generalized clark representation formula, with application to optimal portfolios
• Dynamic portfolio selection under EaR
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• Dynamic Optimization of Investment Portfolio under Liquidity with Taylor Extension of Value function
• A closed form solution for optimal dynamic portfolio problems
• OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
• Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
• Optimal dynamic portfolio selection with earnings-at-risk

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