Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Marcos Escobar-Anel, Michel Kschonnek, Rudi Zagst
| Year of publication: |
2022
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|---|---|
| Authors: | Escobar, Marcos ; Kschonnek, Michel ; Zagst, Rudi |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 95.2022, 1, p. 101-140
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| Subject: | Allocation constraints | Concavification | Dynamic portfolio optimization | HJB | Terminal wealth constraints | Utility maximization | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Nutzen | Utility |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-022-00772-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013184223