Optimal portfolios with a positive lower bound on final wealth

DOI10.1080/14697680500167927zbMath1134.91436OpenAlexW2082372111MaRDI QIDQ5711170

Ralf Korn

Publication date: 9 December 2005

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

Full work available at URL: https://doi.org/10.1080/14697680500167927

zbMATH Keywords

lower boundmartingale methodoptimal portfolioscapital guarantee

Mathematics Subject Classification ID

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Cites Work

• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
• Convex duality in constrained portfolio optimization
• On Merton’s Problem for Life Insurers

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