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Volumn 25, Issue 4, 1999, Pages 76-85

The risk and rewards of minimizing shortfall probability: The risk may be worthwhile

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EID: 0033147604     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1999.319754     Document Type: Article
Times cited : (48)

References (14)
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  • 2
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    • Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin
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    • Browne, S.1
  • 3
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    • Reaching goals by a deadline: Digital options and continuous-time active portfolio management
    • To appear in Advances in Applied Probability
    • -. "Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management." Proceedings of the 1997 IAFE Annual Conference, 1997a. (To appear in Advances in Applied Probability, 1999.)
    • (1997) Proceedings of the 1997 IAFE Annual Conference
  • 4
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    • Survival and growth with a fixed liability: Optimal portfolios in continuous time
    • -. "Survival and Growth with a Fixed Liability: Optimal Portfolios in Continuous Time." Mathematics of Operations Research, 22 (1997b), pp. 468-493.
    • (1997) Mathematics of Operations Research , vol.22 , pp. 468-493
  • 5
    • 0032022128 scopus 로고    scopus 로고
    • The return on investment from proportional portfolio strategies
    • -. "The Return on Investment from Proportional Portfolio Strategies." Advances in Applied Probability, 30 (1998), pp. 216-238.
    • (1998) Advances in Applied Probability , vol.30 , pp. 216-238
  • 6
    • 0000592568 scopus 로고
    • Optimal investment and consumption strategies under risk for a class of utility functions
    • Hakansson, N.H. "Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions." Econometrica, 38 (1970), pp. 587-607.
    • (1970) Econometrica , vol.38 , pp. 587-607
    • Hakansson, N.H.1
  • 8
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    • Portfolio selection
    • Markowitz, H.M. "Portfolio Selection." Journal of Finance, 7 (1952), pp. 77-91.
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    • Markowitz, H.M.1
  • 10
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    • Optimum consumption and portfolio rules in a continuous time model
    • -. "Optimum Consumption and Portfolio Rules in a Continuous Time Model." Journal of Economic Theory, 3 (1971), pp. 373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
  • 11
    • 0002034679 scopus 로고
    • Dynamic strategies for asset allocation
    • January-February
    • Perold, A.F., and W.F. Sharpe. "Dynamic Strategies for Asset Allocation." Financial Analysts Journal, January-February 1988, pp. 16-27.
    • (1988) Financial Analysts Journal , pp. 16-27
    • Perold, A.F.1    Sharpe, W.F.2
  • 12
    • 0001567393 scopus 로고
    • Safety first and the holding of assets
    • Roy, A. "Safety First and the Holding of Assets." Econometrica, 20 (1952), pp. 431-439.
    • (1952) Econometrica , vol.20 , pp. 431-439
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  • 13
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    • Continuously rebalanced investment strategies
    • Fall
    • Rubinstein, M. "Continuously Rebalanced Investment Strategies." Journal of Portfolio Management, Fall 1991, pp. 78-81.
    • (1991) Journal of Portfolio Management , pp. 78-81
    • Rubinstein, M.1
  • 14
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    • Maximizing the probability of achieving investment goals
    • Fall
    • Williams, J.O. "Maximizing the Probability of Achieving Investment Goals." Journal of Portfolio Management, Fall 1997, pp. 77-81.
    • (1997) Journal of Portfolio Management , pp. 77-81
    • Williams, J.O.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.