Optimal Sure Portfolio Plans
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Publication:4345909
Recommendations
- scientific article; zbMATH DE number 4207185
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
- Optimal portfolios for logarithmic utility.
Cites work
- scientific article; zbMATH DE number 3791104 (Why is no real title available?)
- scientific article; zbMATH DE number 3478187 (Why is no real title available?)
- scientific article; zbMATH DE number 3048439 (Why is no real title available?)
- Calcul stochastique et problèmes de martingales
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments
- Maximum theorems for convex structures with an application to the theory of optimal intertemporal allocation
- Optimal Saving and Risk in Continuous Time
- Quelques applications de la formule de changement de variables pour les semimartingales
- Sur l'int�grabilit� uniforme des martingales exponentielles
- Survey of Measurable Selection Theorems
Cited in
(4)- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Minimal entropy preserves the Lévy property: how and why
- Risk-sensitive benchmarked asset management
- NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
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