scholarly journals Resolution of Degeneracy in Merton's Portfolio Problem

2016 ◽  
Author(s):  
Chi Seng Pun ◽  
Hoi Ying Wong
Keyword(s):  
Portfolio Problem ◽  
Merton’S Portfolio

scholarly journals Risk-averse Merton’s Portfolio Problem

2016 ◽  
Vol 49 (8) ◽  
pp. 266-271
Author(s):  
Laurent Pfeiffer
Keyword(s):  
Risk Averse ◽  
Portfolio Problem ◽  
Merton’S Portfolio

Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach

2019 ◽  
Vol 275 (3) ◽  
pp. 1178-1189 ◽  
Author(s):  
Francesca Mariani ◽  
Maria Cristina Recchioni ◽  
Mariateresa Ciommi
Keyword(s):  
Closed Form ◽  
Shadow Price ◽  
Market Frictions ◽  
Portfolio Problem ◽  
Price Approach ◽  
Merton’S Portfolio ◽  
Closed Form Formula

scholarly journals Merton’s portfolio problem under Volterra Heston model

2020 ◽  
pp. 101580
Author(s):  
Bingyan Han ◽  
Hoi Ying Wong
Keyword(s):  
Heston Model ◽  
Portfolio Problem ◽  
Merton’S Portfolio

scholarly journals Resolution of Degeneracy in Merton's Portfolio Problem

2016 ◽  
Vol 7 (1) ◽  
pp. 786-811 ◽  
Author(s):  
Chi Seng Pun ◽  
Hoi Ying Wong
Keyword(s):  
Portfolio Problem ◽  
Merton’S Portfolio

Turning an Asset-Liability Problem into an Investment Portfolio Problem

2012 ◽  
Author(s):  
Yaniv Zaks ◽  
Zinoviy Landsman
Keyword(s):  
Investment Portfolio ◽  
Portfolio Problem

scholarly journals Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading

2018 ◽  
Vol 35 (1-2) ◽  
pp. 1-21
Author(s):  
Imke Redeker ◽  
Ralf Wunderlich
Keyword(s):  
Discrete Time ◽  
Risk Measure ◽  
Time Discretization ◽  
Optimal Investment ◽  
Portfolio Performance ◽  
Dynamic Risk ◽  
Portfolio Problem ◽  
Risk Constraint ◽  
Infrequent Trading ◽  
Dynamic Programming Equations

AbstractWe consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure. For continuous- and discrete-time financial markets we investigate the loss in expected utility of intermediate consumption and terminal wealth caused by imposing a dynamic risk constraint. We derive the dynamic programming equations for the resulting stochastic optimal control problems and solve them numerically. Our numerical results indicate that the loss of portfolio performance is not too large while the risk is notably reduced. We then investigate time discretization effects and find that the loss of portfolio performance resulting from imposing a risk constraint is typically bigger than the loss resulting from infrequent trading.

Separation, Decomposition, and Diversification in the Single-Period Portfolio Problem

1973 ◽  
Vol 28 (5) ◽  
pp. 1373
Author(s):  
Stephen A. Buser
Keyword(s):  
Single Period ◽  
Portfolio Problem

Value at Risk for the portfolio problem with copulas

2019 ◽  
pp. 371-376
Author(s):  
A.M.M. Barreto ◽  
N. Ishimura ◽  
Y. Yoshizawa
Keyword(s):  
At Risk ◽  
Value At Risk ◽  
Portfolio Problem
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