Optimal guaranteed return portfolios and the casino effect

Operations Research

Volumn 48, Issue 5, 2000, Pages 768-775

  Dert, Cees ^a,b   Oldenkamp, Bart ^a,c  

^a ABN AMRO Asset Management   (Netherlands)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

CONSTRAINT THEORY; LINEAR PROGRAMMING; MATHEMATICAL MODELS; PROBABILITY; PROBLEM SOLVING; RISK MANAGEMENT;

CASINO EFFECTS; GAMBLING POLICY;

OPERATIONS RESEARCH;

EID: 0034262887     PISSN: 0030364X     EISSN: None     Source Type: Journal    
DOI: 10.1287/opre.48.5.768.12400     Document Type: Article

References (9)

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2. Dybvig, Philip H. 1988. Inefficient dynamic portfolio strategies or how to throw away a million dollars in the stock market. Rev. Financial Stud 1(1) 67-88.
3. Harlow, W. V. 1991. Asset allocation in a downside risk framework. Financial Analyst J. 47(5) 28-40.
4. Ingersoll, Jonathan E. 1987. Theory of Financial Decision Making. Rowman and Littlefield, Savage, MD.
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6. _, Stanley Kogelman. 1991. Asset allocation under shortfall risk constraints. J. Portfolio Management 17(2) 18-23.
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8. Merrill, Craig, Steven Thorley. 1996. Time diversification: Perspectives from option pricing theory. Financial Analysts J. May/June 13-19.
9. Pelsser, Antoon, Ton Vorst. 1995. Optimal optioned portfolios with confidence limits on shortfall constraints. Adv. Quant. Anal. Finance Accounting 3A 205-220.