Value management

DOI10.1088/1469-7688/2/2/304MaRDI QIDQ4646775zbMATH OpenOpenAlexFDO

Authors Klaus Hellwig

Publication date 14 January 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1469-7688/2/2/304

zbMATH Keywords

growth maximizationmultiperiod portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Growth and utility maximization.
• Portfolio selection subject to growth objectives
• Optimal consumption and portfolio selection with portfolio constraints
• Managing a value-preserving portfolio over time
• Optimal consumption and portfolio policies when asset prices follow a diffusion process

Cites work

• Computational experience with general equilibrium problems
• scientific article; zbMATH DE number 3976707 (Why is no real title available?)
• scientific article; zbMATH DE number 3179081 (Why is no real title available?)
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• On value preserving and growth optimal portfolios
• Optimal strategies for prudent investors
• Partitioning procedures for solving mixed-variables programming problems
• Products of trees for investment analysis
• Utility maximization under capital growth constraints
• Value preserving portfolio strategies and the minimal martingale measure
• Value preserving portfolio strategies in continuous-time models
• Value preserving strategies and a general framework for local approaches to optimal portfolios.

Cited in

(6)

• Present value based portfolio choice
• Growth and utility maximization.
• Sustainability revisited
• A prediction of growth rate by non-mean-square error criterion functions
• Incorporation of Customer Value into Revenue Management
• Portfolio selection subject to growth objectives

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