TY  - UNPD
A1  - Kraft, Holger
A1  - Steffensen, Mogens
T1  - A dynamic programming approach to constrained portfolios
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2012,7
N2  - This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies the martingale method. More precisely, we construct the non-separable value function by formalizing the optimal constrained terminal wealth to be a (conjectured) contingent claim on the optimal non-constrained terminal wealth. This is relevant by itself, but also opens up the opportunity to derive new solutions to constrained problems. As a second contribution, we thus derive new results for non-strict constraints on the shortfall of inter¬mediate wealth and/or consumption.
T3  - CFS working paper series - 2012, 07 
KW  - Finance
KW  - Markov Processes
KW  - Consumption-investment Problems
KW  - Utility Maximization
KW  - Bellman Equations
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/25656
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-256567
IS  - Version July 17, 2012
PB  - CFS
CY  - Frankfurt am Main
ER  -