PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

DOI10.1111/J.1467-9965.2006.00272.XzbMATH Open1145.91350OpenAlexW2145775530MaRDI QIDQ5488976FDOQ5488976

Publication date: 25 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00272.x

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Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

Optimum consumption and portfolio rules in a continuous-time model
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Optimal trading strategy for an investor: the case of partial information
Optimal investment with minimum performance constraints
Optimization Problems in the Theory of Continuous Trading
A generalized clark representation formula, with application to optimal portfolios
A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
An extension of clark' formula
Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
Hedging lookback and partial lookback options using Malliavin calculus

Cited In (41)

Portfolio-consumption choice problem with voluntary retirement and consumption constraints
Construction of a portfolio with shorter downside tail and longer upside tail
Portfolio optimization model with and without options under additional constraints
An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
Optimal consumption and portfolio selection problem with downside consumption constraints
Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
Optimal portfolio policies under bounded expected loss and partial information
Optimal consumption and portfolio selection with negative wealth constraints, subsistence consumption constraints, and CARA utility
Optimal investment, consumption and retirement choice problem with disutility and subsistence consumption constraints
Portfolio selection with transaction costs under expected shortfall constraints
Portfolio selection with subsistence consumption constraints and CARA utility
Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
Optimal consumption and portfolio selection with lower and upper bounds on consumption
AN OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM WITH QUADRATIC UTILITY AND SUBSISTENCE CONSUMPTION CONSTRAINTS: A DYNAMIC PROGRAMMING APPROACH
Utility Maximization Under Bounded Expected Loss
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Increasing risk aversion and life-cycle investing
Optimal consumption and portfolio policies with the consumption habit constraints and the terminal wealth downside constraints
Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
Near-optimal asset allocation in financial markets with trading constraints
An optimal consumption, investment and voluntary retirement choice problem with disutility and subsistence consumption constraints: a dynamic programming approach
Consumption-portfolio choice with subsistence consumption and risk aversion change at retirement
Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
Household investment-consumption-insurance policies under the age-dependent risk preferences
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A dynamic programming approach to path-dependent constrained portfolios
Comparison of optimal portfolios with and without subsistence consumption constraints
Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty
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Minimizing a stochastic convex function subject to stochastic constraints and some applications
Optimal consumption, investment, and insurance under state-dependent risk aversion
Optimal consumption and investment under time-varying relative risk aversion
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A martingale approach for asset allocation with derivative security and hidden economic risk
A dynamic programming approach to constrained portfolios
Finite time-horizon optimal investment and consumption with time-varying subsistence consumption constraints
Optimal investment with deferred capital gains taxes

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