Optimum Constrained Portfolio Rules in a Diffusion Market

DOI10.1080/13504860600840061MaRDI QIDQ3424319zbMATH OpenOpenAlexFDO

Authors Fernando J. Durrell

Publication date 15 February 2007

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860600840061

zbMATH Keywords

constraintsHamilton-Jacobi-Bellman equationstochastic dynamic programmingutility

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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Cites work

• Consumption-Investment Models with Constraints
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• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 825000 (Why is no real title available?)
• Nouvelles méthodes en contrôle impulsionnel
• On the pricing of contingent claims under constraints
• Optimal consumption and portfolio choice with borrowing constraints
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal Control with State-Space Constraint I
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Stochastic stability and control

Cited in

(12)

• Dynamic portfolio choice under asset price lognormality
• Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
• A dynamic programming approach to constrained portfolios
• Smooth investment
• Optimal portfolio and certainty equivalence estimator for the appreciation rate
• Optimal portfolio selection strategies under some constraints
• On the structure of multifactor optimal portfolio strategies
• Optimal selection portfolio problem: a semi-linear PDE approach
• Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
• Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
• Numerical methods for portfolio selection with bounded constraints
• Optimum portfolio diversification in a general continuous-time model

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