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Consumption and portfolio turnpike theorems in a continuous-time finance model
Jin, Xing - In: Journal of economic dynamics & control 22 (1998) 7, pp. 1001-1026
Persistent link: https://www.econbiz.de/10001243970
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On optimal investment for a behavioral investor in multiperiod incomplete market models
Carassus, Laurence; Rásonyi, Miklós - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 115-153
Persistent link: https://www.econbiz.de/10011347239
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Investment strategies for HARA utility function : a general algebraic approximated solution
Menoncin, Francesco (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001717456
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Portfolio optimization with disutility-based risk measure
Fulga, Cristinca - In: European journal of operational research : EJOR 251 (2016) 2, pp. 541-553
Persistent link: https://www.econbiz.de/10011444347
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Modeling hedge fund leverage via power utility with subsistence
Morton, David P.; Popova, Ivilina - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 77-85
Persistent link: https://www.econbiz.de/10010209502
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Diversification versus optimality : is there really a diversification puzzle?
Ortobelli Lozza, Sergio; Wong, Wing Keung; Fabozzi, Frank J. - In: Applied economics 50 (2018) 43, pp. 4671-4693
Persistent link: https://www.econbiz.de/10012061607
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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 …
Persistent link: https://www.econbiz.de/10011867378
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Mean-variance investing with factor tilting
Boido, Claudio; Fasano, Antonio - In: Risk management : an international journal 25 (2023) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10014251456
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Heterogeneity in optimal investment and drawdown strategies in retirement
Butt, Adam; Khemka, Gaurav; Warren, Geoff - In: Pacific-Basin finance journal 74 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013389436
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Efficient portfolios computed with moment-based bounds
Morton, David P.; Dokov, Steftcho; Popova, Ivilina - In: Finance research letters 51 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014291616