Optimal Portfolio Management with Partial Observations and Power Utility Function

1999 ◽  
pp. 605-619 ◽  
Author(s):  
Raymond Rishel
Keyword(s):  
Utility Function ◽  
Portfolio Management ◽  
Optimal Portfolio ◽  
Power Utility ◽  
Partial Observations

Optimal portfolio management with American capital guarantee

2005 ◽  
Vol 29 (3) ◽  
pp. 449-468 ◽  
Author(s):  
Nicole El Karoui ◽  
Monique Jeanblanc ◽  
Vincent Lacoste
Keyword(s):  
Portfolio Management ◽  
Optimal Portfolio

DYNAMIC OPTIMIZATION OF THE INVESTMENT PORTFOLIO MANAGEMENT TRAJECTORY

2021 ◽  
Vol 17 (3) ◽  
pp. 73-77
Author(s):  
NATALIA GRINEVA ◽  
◽  
Keyword(s):  
Mathematical Model ◽  
Dynamic Optimization ◽  
Portfolio Management ◽  
Management Strategy ◽  
Optimization Problem ◽  
Optimal Portfolio ◽  
Processes Of Change ◽  
Investment Portfolio ◽  
Strategy Formation ◽  
Risk Appetite

The task of control from the position of mathematical tools application is discussed, economic statement and mathematical model of optimization problem are formulated, the sequential realization of the research aim - the mechanism of optimal portfolio management strategy formation - is presented. The results of dynamic optimization of decisions made at each step form the optimum law of the portfolio management. Scientific novelty of the study consists in the fact that the constructed portfolio takes into account the real incompleteness of the initial data on the processes of change in the yields of securities; there is no need to build a set of effective portfolios and indifference curves that characterize the risk appetite of investors; private characteristics are not used as the main criteria that determine the structure of the optimal portfolio of securities.

scholarly journals Optimal Portfolio Management for Engineering Problems Using Nonconvex Cardinality Constraint: A Computing Perspective

IEEE Access ◽  
2020 ◽  
Vol 8 ◽  
pp. 57437-57450 ◽  
Author(s):  
Ameer Hamza Khan ◽  
Xinwei Cao ◽  
Vasilios N. Katsikis ◽  
Predrag Stanimirovic ◽  
Ivona Brajevic ◽  
...  
Keyword(s):  
Portfolio Management ◽  
Optimal Portfolio ◽  
Cardinality Constraint ◽  
Engineering Problems
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