کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
476731 1446049 2013 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A dynamic programming approach to constrained portfolios
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
A dynamic programming approach to constrained portfolios
چکیده انگلیسی

This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies the martingale method. More precisely, we construct the non-separable value function by formalizing the optimal constrained terminal wealth to be a (conjectured) contingent claim on the optimal non-constrained terminal wealth. This is relevant by itself, but also opens up the opportunity to derive new solutions to constrained problems. As a second contribution, we thus derive new results for non-strict constraints on the shortfall of intermediate wealth and/or consumption.


► We explain how dynamic programming can be used for constrained portfolio problems.
► We solve portfolio problems with probabilistic constraints by dynamic programming.
► We solve consumption–investment problems with probabilistic constraints on consumption.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 229, Issue 2, 1 September 2013, Pages 453–461
نویسندگان
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