6533b85afe1ef96bd12b9f18
RESEARCH PRODUCT
Continuous-time portfolio optimization under terminal wealth constraints
Ralf KornSiegfried Trautmannsubject
Mathematical optimizationComputer scienceGeneral MathematicsConstrained optimizationManagement Science and Operations ResearchReplicating portfolioPortfolioPost-modern portfolio theoryProject portfolio managementPortfolio optimizationMathematical economicsSoftwareExpected utility hypothesisModern portfolio theorydescription
Typically portfolio analysis is based on the expected utility or the mean-variance approach. Although the expected utility approach is the more general one, practitioners still appreciate the mean-variance approach. We give a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints. Moreover, we propose a solution method for such constrained problems.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1995-02-01 | ZOR Zeitschrift f�r Operations Research Methods and Models of Operations Research |