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Optimal investment strategies with bounded risks, general utilities, and goal achieving

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  • Dokuchaev, Nikolai
  • Yu Zhou, Xun

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  • Dokuchaev, Nikolai & Yu Zhou, Xun, 2001. "Optimal investment strategies with bounded risks, general utilities, and goal achieving," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 289-309, April.
    • Handle: RePEc:eee:mateco:v:35:y:2001:i:2:p:289-309
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    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. repec:bla:jfinan:v:53:y:1998:i:5:p:1705-1736 is not listed on IDEAS
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472, World Scientific Publishing Co. Pte. Ltd..
    5. Andre F. Perold, 1984. "Large-Scale Portfolio Optimization," Management Science, INFORMS, vol. 30(10), pages 1143-1160, October.
    6. Jean-Paul Laurent & Huyen Pham, 1999. "Dynamic programming and mean-variance hedging," Post-Print hal-03675953, HAL.
    7. Hakansson, Nils H, 1971. "Multi-Period Mean-Variance Analysis: Toward A General Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 26(4), pages 857-884, September.
    8. Martin Kulldorff & Ajay Khanna, 1999. "A generalization of the mutual fund theorem," Finance and Stochastics, Springer, vol. 3(2), pages 167-185.
    9. Dumas, Bernard & Luciano, Elisa, 1991. "An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-595, June.
    10. Martin Schweizer & HuyËn Pham & (*), Thorsten RheinlÄnder, 1998. "Mean-variance hedging for continuous processes: New proofs and examples," Finance and Stochastics, Springer, vol. 2(2), pages 173-198.
    11. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    12. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
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    Cited by:

    1. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
    2. Nikolai Dokuchaev, 2015. "Optimal portfolio with unobservable market parameters and certainty equivalence principle," Papers 1502.02352, arXiv.org.
    3. repec:dau:papers:123456789/5590 is not listed on IDEAS
    4. Dokuchaev, Nikolai G. & Savkin, Andrey V., 2002. "A bounded risk strategy for a market with non-observable parameters," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 243-254, April.
    5. Nikolai Dokuchaev, 2002. "Pricing rule based on non-arbitrage arguments for random volatility and volatility smile," Papers math/0205120, arXiv.org.

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