A dynamic programming approach to constrained portfolios

European Journal of Operational Research

Volumn 229, Issue 2, 2013, Pages 453-461

  Kraft, Holger ^a   Steffensen, Mogens ^b  

^a GOETHE UNIVERSITY   (Germany)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Bellman equations; Consumption investment problems; Finance; Markov processes; Utility maximization

Indexed keywords

BELLMAN EQUATIONS; CONSTRAINED PORTFOLIOS; CONSTRAINED PROBLEM; CONSUMPTION-INVESTMENT PROBLEMS; CONTINGENT CLAIMS; MARTINGALE METHOD; NON-CONSTRAINED; UTILITY MAXIMIZATIONS;

DYNAMIC PROGRAMMING; FINANCE; MARKOV PROCESSES; OPTIMIZATION;

PROBLEM SOLVING;

EID: 84876983402     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2013.02.039     Document Type: Article

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