Portfolio optimization with downside constraints

Mathematical Finance

Volumn 16, Issue 2, 2006, Pages 283-299

  Lakner, Peter ^a   Nygren, Lan Ma ^b  

^a NEW YORK UNIVERSITY   (United States)

^b RIDER UNIVERSITY   (United States)

Author keywords

Clark Ocone formula; Downside constraint; Gradient operator; Malliavin calculus; Optimal portfolio selection; Utility maximization

Indexed keywords

EID: 33644971258     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00272.x     Document Type: Article

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