Standardized versus customized portfolio: a compensating variation approach

DOI10.1007/S10479-008-0447-6MaRDI QIDQ1026546zbMATH OpenOpenAlexFDO

Authors J. L. Prigent, André de Palma

Publication date 25 June 2009

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-008-0447-6

Mathematics Subject Classification ID

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Cites work

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• Convex duality in constrained portfolio optimization
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• scientific article; zbMATH DE number 3720627 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Monte Carlo computation of optimal portfolios in complete markets
• On optimal portfolio choice under stochastic interest rates
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimization of consumption with labor income
• Optimum consumption and portfolio rules in a continuous-time model
• Stochastic Interest Rates and the Bond-Stock Mix
• The economics of risk and time

Cited in

(6)

• On the robustness of portfolio allocation under copula misspecification
• On the optimality of path-dependent structured funds: the cost of standardization
• Near-optimal asset allocation in financial markets with trading constraints
• Mixed-asset portfolio allocation under mean-reverting asset returns
• Tailor-made thematic portfolios: a core satellite optimization
• On the performance of factor investing: an analysis based on constant mix and buy-and-hold strategies

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