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A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function

Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - 2015

Persistent link: https://www.econbiz.de/10011283724

Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?

Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108

Persistent link: https://www.econbiz.de/10010465138

A numerical solution of optimal portfolio selection problem with general utility functions

Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981

Persistent link: https://www.econbiz.de/10012223689

Portfolio selection in discrete time with transaction costs and power utility function : a perturbation analysis

Quek, Gary; Atkinson, Colin - In: Applied mathematical finance 24 (2017) 1/2, pp. 77-111

Persistent link: https://www.econbiz.de/10011746994

Semiparametric dynamic portfolio choice with multiple conditioning variables

Chen, Jia; Li, Degui; Linton, Oliver; Lu, Zu-di - In: Journal of econometrics 194 (2016) 2, pp. 309-318

Persistent link: https://www.econbiz.de/10011705164

Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix

Hong, Yi; Jin, Xing - In: European journal of operational research : EJOR 265 (2018) 1, pp. 389-398

Persistent link: https://www.econbiz.de/10011805508

Optimal portfolio in the presence of transaction costs and convex risk measure

Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011807095

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …Utility and risk are two often competing measurements on the investment success. We show that efficient trade …

Persistent link: https://www.econbiz.de/10011867378

Optimizing tourist demands with utility efficient frontier

Rakotondramaro, Hanitra; Botti, Laurent - In: Tourism economics : the business and finance of tourism … 24 (2018) 2, pp. 157-166

Persistent link: https://www.econbiz.de/10011872529

Existence of solutions in non-convex dynamic programming and optimal investment

Pennanen, Teemu; Perkkiö, Ari-Pekka; Rásonyi, Miklós - In: Mathematics and financial economics 11 (2017) 2, pp. 173-188

Persistent link: https://www.econbiz.de/10011900537