Optimal portfolios with a positive lower bound on final wealth

Quantitative Finance

Volumn 5, Issue 3, 2005, Pages 315-321

  Korn, Ralf ^a  

^a France   (Germany)

Author keywords

Capital guarantee; Lower bound; Martingale method; Optimal portfolios

Indexed keywords

EID: 24944471517     PISSN: 14697688     EISSN: None     Source Type: Journal    
DOI: 10.1080/14697680500167927     Document Type: Conference Paper

References (10)

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10. Xu, G.L. and Shreve, S.E., A duality method for optimal consumption and investment under short-selling prohibitions. I: Constant coefficients. Annals of Applied Probability, 1992b, 2, 314-328.