Maximizing survival, growth and goal reaching under borrowing constraints

被引：10

作者：

Yener, Haluk ^{[1
]}

机构：

[1] Istanbul Bilgi Univ, Dept Business Adm, TR-34060 Istanbul, Turkey

来源：

QUANTITATIVE FINANCE | 2015年 / 15卷 / 12期

关键词：

Applied mathematical finance; Optimal portfolios; Dynamic programming; Control and Optimization; Borrowing constraints; Auxiliary market; G11; C61; OPTIMAL INVESTMENT; TRANSACTION COSTS; CONTINUOUS-TIME; CONSUMPTION; MODEL;

D O I：

10.1080/14697688.2014.972435

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we consider the survival, growth and goal reaching maximization problems treated in Browne [Math. Oper. Res., 1997, 22, 468-493] and solve them in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market introduced by Cvitanic and Karatzas [Ann. Appl. Probab., 1992, 2, 767-818] and then apply the dynamic programming approach. Via our solutions, an alternative approach is introduced in order to solve the problems defined under an auxiliary market.

引用

页码：2053 / 2065

页数：13

共 22 条

[1]

[Anonymous], 2004, Arbitrage Theory in Continuous / Time

[2] Minimizing the probability of lifetime ruin under borrowing constraints [J].

Bayraktar, Erhan ;

Young, Virginia R. .

INSURANCE MATHEMATICS & ECONOMICS, 2007, 41 (01) :196-221

[3] Survival and growth with a liability: Optimal portfolio strategies in continuous time [J].

Browne, S .

MATHEMATICS OF OPERATIONS RESEARCH, 1997, 22 (02) :468-493

[4]

Browne S., 1999, FINANC STOCH, V3, P275

[5] Optimal consumption choices for a 'large' investor [J].

Cuoco, D ;

Cvitanic, J .

JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 1998, 22 (03) :401-436

[6]

Cvitani J.

[7]

., 1992, Ann. Appl. Prob, V2, P767, DOI 10.1214/aoap/1177005576

[8]

Cvitanic J., 1996, MATH FINANC, V6, P133, DOI [10.1111/j.1467-9965.1996.tb00075.x, DOI 10.1111/J.1467-9965.1996.TB00075.X]

[9]

CVITANIC J, 1997, LECT NOTES MATH, V1656, P123

[10]

Davis M.H.A., 2004, APPL MATH ENTERING 2, P49

← 1 2 3 →