Maximizing survival, growth and goal reaching under borrowing constraints
Küçük Resim Yok
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Applied Mathematical Finance, Optimal Portfolios, Dynamic Programming, Control And Optimization, Borrowing Constraints, Auxiliary Market, G11, C61, Optimal Investment, Transaction Costs, Continuous-Time, Consumption, Model
Kaynak
Quantitative Finance
WoS Q Değeri
Q3
Scopus Q Değeri
Q1
Cilt
15
Sayı
12
