scholarly journals Optimal portfolio selection for general provisioning and terminal wealth problems

2010 ◽  
Vol 47 (1) ◽  
pp. 90-97 ◽  
Author(s):  
Koen Van Weert ◽  
Jan Dhaene ◽  
Marc Goovaerts
Keyword(s):  
Portfolio Selection ◽  
Optimal Portfolio ◽  
Terminal Wealth ◽  
Optimal Portfolio Selection ◽  
Selection For

scholarly journals Optimal Smooth Portfolio Selection for an Insider

2007 ◽  
Vol 44 (3) ◽  
pp. 742-752 ◽  
Author(s):  
Yaozhong Hu ◽  
Bernt Øksendal
Keyword(s):  
Portfolio Selection ◽  
Stochastic Calculus ◽  
Optimal Portfolio ◽  
Explicit Solutions ◽  
Terminal Wealth ◽  
Portfolio Problem ◽  
Selection For

We study the optimal portfolio problem for an insider, in the case where the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses stochastic calculus of forward integrals.

scholarly journals Optimal Smooth Portfolio Selection for an Insider

2007 ◽  
Vol 44 (03) ◽  
pp. 742-752 ◽  
Author(s):  
Yaozhong Hu ◽  
Bernt Øksendal
Keyword(s):  
Portfolio Selection ◽  
Stochastic Calculus ◽  
Optimal Portfolio ◽  
Explicit Solutions ◽  
Terminal Wealth ◽  
Portfolio Problem ◽  
Selection For

We study the optimal portfolio problem for an insider, in the case where the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses stochastic calculus of forward integrals.

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