Maximizing survival, growth and goal reaching under borrowing constraints
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Date
2015
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Routledge Journals, Taylor & Francis Ltd
Access Rights
info:eu-repo/semantics/closedAccess
Abstract
In this paper, we consider the survival, growth and goal reaching maximization problems treated in Browne [Math. Oper. Res., 1997, 22, 468-493] and solve them in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market introduced by Cvitanic and Karatzas [Ann. Appl. Probab., 1992, 2, 767-818] and then apply the dynamic programming approach. Via our solutions, an alternative approach is introduced in order to solve the problems defined under an auxiliary market.
Description
Keywords
Applied Mathematical Finance, Optimal Portfolios, Dynamic Programming, Control And Optimization, Borrowing Constraints, Auxiliary Market, G11, C61, Optimal Investment, Transaction Costs, Continuous-Time, Consumption, Model
Journal or Series
Quantitative Finance
WoS Q Value
Q3
Scopus Q Value
Q1
Volume
15
Issue
12
