Dynamic optimal portfolios benchmarking the stock market
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...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Others |
| Language: | English |
| Published: |
Universitätsbibliothek Chemnitz
2005
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| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501244 http://nbn-resolving.de/urn:nbn:de:swb:ch1-200501244 http://www.qucosa.de/fileadmin/data/qucosa/documents/5046/data/t_04_ga_ri_wu.pdf http://www.qucosa.de/fileadmin/data/qucosa/documents/5046/20050124.txt |