Dynamic optimal portfolios benchmarking the stock market

Dynamic optimal portfolios benchmarking the stock market

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The paper investigates dynamic optimal portfolio strategies of utility maximizing portfolio managers in the presence of risk constraints. Especially we consider the risk, that the terminal wealth of the portfolio falls short of a certain benchmark level which is proportional to the stock price. This...

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Bibliographic Details
Main Authors: Gabih, Abdelali, Richter, Matthias, Wunderlich, Ralf
Language:English
Published: Technische Universität Chemnitz 2005
Subjects:
info:eu-repo/classification/ddc/510
ddc:510
Black-Scholes-Modell
Portfolio Selection
benchmarking
dynamic strategy
martingale method
optimal portfolio
shortfall risk
Online Access:http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501244
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