Maximising Survival, Growth, and Goal Reaching Under Borrowing Constraints

Autor:	Yener, Haluk
Rok vydání:	2012
Předmět:	Quantitative Finance - Portfolio Management 93E20 60H10 (Primary) 60G40 60J60 (Secondary)
Druh dokumentu:	Working Paper
Popis:	In this paper, we consider three problems related to survival, growth, and goal reaching maximization of an investment portfolio with proportional net cash flow. We solve the problems in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market 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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1209.6385 Zobrazit plný text záznamu View this record from Arxiv