Portfolio optimization with a prescribed terminal wealth distribution
Ivan Guo, Nicolas Langrené, Grégoire Loeper and Wei Ning
Year of publication: |
2022
|
---|---|
Authors: | Guo, Ivan ; Langrené, Nicolas ; Loeper, Grégoire ; Ning, Wei |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 2, p. 333-347
|
Subject: | Fokker-Planck | HJB | Optimal mass transport | Portfolio allocation | Wealth distribution target | Theorie | Theory | Portfolio-Management | Portfolio selection | Vermögensverteilung | Wealth distribution | Mathematische Optimierung | Mathematical programming |
Saved in:
Online Resource
Saved in favorites
Similar items by subject
-
Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation
Escobar, Marcos, (2022)
-
Investing for retirement : terminal wealth constraints or a desired wealth target?
Donnelly, Catherine, (2022)
-
Individual wealth accumulation : why does dining together as a family matter?
Chatterjee, Swarn, (2012)
- More ...
Similar items by person