Maheshwari, Aditya; Pirvu, Traian A. - In: Risks : open access journal 8 (2020) 1/15, pp. 1-18
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi …-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation … portofolio´s expected exponential utility subject to the correlation constraint. Two types of optimal portfolio strategies are …
