Maximizing survival, growth and goal reaching under borrowing constraints

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Date

2015

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Volume Title

Publisher

Routledge Journals, Taylor & Francis Ltd

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info:eu-repo/semantics/closedAccess

DOI

10.1080/14697688.2014.972435

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.

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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

Citation

URI

https://doi.org/10.1080/14697688.2014.972435
 https://hdl.handle.net/11411/7537

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Web of Science Indexed Publications
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info:eu-repo/semantics/closedAccess