Optimal investment with minimum performa
✍
Lucie Teplá
📂
Article
📅
2001
🏛
Elsevier Science
🌐
English
⚖ 175 KB
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