A dynamic programming approach to constrained portfolios
- 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.
| Verfasserangaben: | Holger KraftGND, Mogens Steffensen |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-256567 |
| Titel des übergeordneten Werkes (Deutsch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2012,7 |
| Schriftenreihe (Bandnummer): | CFS working paper series (2012, 07) |
| Verlag: | CFS |
| Verlagsort: | Frankfurt am Main |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2012 |
| Jahr der Erstveröffentlichung: | 2012 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 15.08.2012 |
| Freies Schlagwort / Tag: | Bellman Equations; Consumption-investment Problems; Finance; Markov Processes; Utility Maximization |
| Ausgabe / Heft: | Version July 17, 2012 |
| Seitenzahl: | 30 |
| HeBIS-PPN: | 348140010 |
| Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
