Maximizing survival, growth and goal reaching under borrowing constraints

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dc.authoridYener, Haluk/0000-0003-2654-5810
dc.authorwosidYener, Haluk/AAG-5885-2019
dc.contributor.authorYener, Haluk
dc.date.accessioned2024-07-18T20:45:25Z
dc.date.available2024-07-18T20:45:25Z
dc.date.issued2015
dc.departmentİstanbul Bilgi Üniversitesien_US
dc.description.abstractIn 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.en_US
dc.identifier.doi10.1080/14697688.2014.972435
dc.identifier.endpage2065en_US
dc.identifier.issn1469-7688
dc.identifier.issn1469-7696
dc.identifier.issue12en_US
dc.identifier.scopus2-s2.0-84947870698en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage2053en_US
dc.identifier.urihttps://doi.org/10.1080/14697688.2014.972435
dc.identifier.urihttps://hdl.handle.net/11411/7537
dc.identifier.volume15en_US
dc.identifier.wosWOS:000365286000003en_US
dc.identifier.wosqualityQ3en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherRoutledge Journals, Taylor & Francis Ltden_US
dc.relation.ispartofQuantitative Financeen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectApplied Mathematical Financeen_US
dc.subjectOptimal Portfoliosen_US
dc.subjectDynamic Programmingen_US
dc.subjectControl And Optimizationen_US
dc.subjectBorrowing Constraintsen_US
dc.subjectAuxiliary Marketen_US
dc.subjectG11en_US
dc.subjectC61en_US
dc.subjectOptimal Investmenten_US
dc.subjectTransaction Costsen_US
dc.subjectContinuous-Timeen_US
dc.subjectConsumptionen_US
dc.subjectModelen_US
dc.titleMaximizing survival, growth and goal reaching under borrowing constraints
dc.typeArticle

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