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Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios

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  • Ralf Korn

Abstract

We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation is derived via a mean‐variance argument. It is also embedded into a framework for local approaches to the problem of portfolio optimization.

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  • Ralf Korn, 2000. "Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 227-241, April.
    • Handle: RePEc:bla:mathfi:v:10:y:2000:i:2:p:227-241
    DOI: 10.1111/1467-9965.00091
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    Cited by:

    1. Hellwig, Klaus, 2004. "Portfolio selection subject to growth objectives," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2119-2128, September.
    2. Paul Emms & Steven Haberman, 2008. "Income Drawdown Schemes for a Defined‐Contribution Pension Plan," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 739-761, September.
    3. Klaus Hellwig, 2002. "Value management," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 133-138.
    4. Klaus Hellwig, 2005. "Portfolio Selection with Little Information about the Future," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 331-335, November.
    5. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
    6. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
    7. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
    8. Hellwig, Klaus, 2005. "Sustainability revisited," Economics Letters, Elsevier, vol. 87(2), pages 193-197, May.

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