Optimum Constrained Portfolio Rules in a Diffusion Market
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Publication:3424319
DOI10.1080/13504860600840061zbMATH Open1142.91517OpenAlexW1966115821MaRDI QIDQ3424319FDOQ3424319
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
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Cites Work
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- Optimum consumption and portfolio rules in a continuous-time model
- Stochastic stability and control
- Optimal Control with State-Space Constraint I
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- Portfolio Selection with Transaction Costs
- Nouvelles méthodes en contrôle impulsionnel
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Consumption-Investment Models with Constraints
- On the pricing of contingent claims under constraints
- Title not available (Why is that?)
- Optimal consumption and portfolio choice with borrowing constraints
Cited In (12)
- Dynamic portfolio strategies: Quantitative methods and empirical rules for incomplete information
- Robust asymptotic growth in stochastic portfolio theory under long‐only constraints
- Optimum portfolio diversification in a general continuous-time model
- Optimal selection portfolio problem: a semi-linear PDE approach
- Dynamic portfolio choice under asset price lognormality
- Optimal portfolio selection strategies under some constraints
- Smooth investment
- On the structure of multifactor optimal portfolio strategies
- Numerical methods for portfolio selection with bounded constraints
- A dynamic programming approach to constrained portfolios
- Optimal portfolio and certainty equivalence estimator for the appreciation rate
- Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
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