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
Optimal investment strategies with a reallocation constraint
β Scribed by Feyzullah Egriboyun; H. Mete Soner
- Publisher
- Springer
- Year
- 2010
- Tongue
- English
- Weight
- 831 KB
- Volume
- 71
- Category
- Article
- ISSN
- 0340-9422
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π SIMILAR VOLUMES
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