Portfolio selection in stochastic markets with HARA utility functions

European Journal of Operational Research

Volumn 201, Issue 2, 2010, Pages 520-536

  Çanakoǧlu, Ethem ^a   Özekici, Süleyman ^a  

^a KOÇ UNIVERSITY   (Turkey)

Author keywords

Dynamic programming; Efficient frontier; HARA utility functions; Myopic policy; Portfolio optimization

Indexed keywords

EFFICIENT FRONTIER; EXPECTED UTILITY; EXPLICIT CONSTRUCTIONS; EXTERNAL PROCESS; HARA UTILITY; HARA UTILITY FUNCTIONS; MARKOV CHAIN; MYOPIC POLICY; OPTIMAL POLICIES; OPTIMAL PORTFOLIO SELECTION; OPTIMAL PORTFOLIOS; PORTFOLIO OPTIMIZATION; PORTFOLIO SELECTION; POWER UTILITY; RISKY ASSETS; SEPARATION PROPERTY; TERMINAL WEALTH; UTILITY FUNCTIONS;

COMMERCE; COMPUTER SOFTWARE SELECTION AND EVALUATION; FINANCIAL DATA PROCESSING; MARKOV PROCESSES; OPTIMIZATION; PACKET SWITCHING; STOCHASTIC MODELS; SYSTEMS ENGINEERING;

DYNAMIC PROGRAMMING;

EID: 70349275261     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.03.017     Document Type: Article

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