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Investment optimization under constraints

✍ Scribed by Nguyen-Thanh Long

Publisher
Springer
Year
2004
Tongue
English
Weight
377 KB
Volume
60
Category
Article
ISSN
0340-9422

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πŸ“œ SIMILAR VOLUMES

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We consider the portfolio problem of an investor whose wealth is constrained to be at least as large as that generated by investment in a stochastic benchmark portfolio. Using standard option pricing results, the optimal portfolio policy of a HARA-utility investor is derived explicitly. This policy

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Research ΓΏnds that ΓΏrms' investment and dividend policies are distorted by irreversibility and ΓΏnance constraints. Existing work considers the impact of each such friction in isolation. Using a real options framework, I explain how the investment and payout decisions interact over time when irrevers