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
Performance with regulation constraints
β Scribed by Anton A. Stoorvogel; Ali Saberi; Peddapullaiah Sannuti
- Book ID
- 108307109
- Publisher
- Elsevier Science
- Year
- 2000
- Tongue
- English
- Weight
- 209 KB
- Volume
- 36
- Category
- Article
- ISSN
- 0005-1098
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