Optimal investment strategies with a reallocation constraint
DOI10.1007/S00186-010-0306-5zbMATH Open1196.49003OpenAlexW2077472541WikidataQ57635922 ScholiaQ57635922MaRDI QIDQ992044FDOQ992044
Authors: Feyzullah Egriboyun, H. Mete Soner 
Publication date: 8 September 2010
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-010-0306-5
Recommendations
- Optimal investment strategies with a minimum performance constraint
- Investment optimization under constraints.
- Optimal investment with minimum performance constraints
- scientific article; zbMATH DE number 613246
- Optimal constrained investment in the Cramer-Lundberg model
- Optimal investment with minimum performance constraints under dynamic reference point
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- Optimal investment with a value-at-risk constraint
- Optimal portfolio strategy under minimax criterion with constraints
- Optimal investment strategies in a CIR framework
Diffusion processes (60J60) Portfolio theory (91G10) Nonlinear parabolic equations (35K55) Existence theories for optimal control problems involving partial differential equations (49J20) Dynamic programming in optimal control and differential games (49L20)
Cites Work
- Convex Analysis
- Optimum consumption and portfolio rules in a continuous-time model
- Title not available (Why is that?)
- Portfolio Selection with Transaction Costs
- Optimal investment and consumption with transaction costs
- Liquidity risk and arbitrage pricing theory
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Option hedging for small investors under liquidity costs
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Title not available (Why is that?)
- MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Portfolio selection with transactions costs
- Risk Management with Benchmarking
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- Consumption-Investment Models with Constraints
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- The relaxed investor and parameter uncertainty
- Optimal lifetime consumption and investment under a drawdown constraint
- Hedging in incomplete markets with HARA utility
- Title not available (Why is that?)
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- Capital Market Equilibrium with Personal Tax
- Optimal trajectories of infinite-horizon deterministic control systems
- Stochastic control methods in asset pricing.
- The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
- Merton Problem with Taxes: Characterization, Computation, and Approximation
Cited In (4)
This page was built for publication: Optimal investment strategies with a reallocation constraint
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q992044)
