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Optimal portfolios: new variations of an old theme

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  • Ralf Korn

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  • Ralf Korn, 2008. "Optimal portfolios: new variations of an old theme," Computational Management Science, Springer, vol. 5(4), pages 289-304, October.
    • Handle: RePEc:spr:comgts:v:5:y:2008:i:4:p:289-304
    DOI: 10.1007/s10287-007-0054-z
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    References listed on IDEAS

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    1. Ralf Korn & Holger Kraft, 2003. "Optimal Portfolios With Defaultable Securities A Firm Value Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(08), pages 793-819.
    2. L.C.G. Rogers, 2001. "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, vol. 5(2), pages 131-154.
    3. Ralf Korn & Olaf Menkens, 2005. "Worst-Case Scenario Portfolio Optimization: a New Stochastic Control Approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(1), pages 123-140, September.
    4. Holger Kraft & Mogens Steffensen, 2006. "Portfolio problems stopping at first hitting time with application to default risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 123-150, February.
    5. Korn, Ralf, 2005. "Worst-case scenario investment for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 1-11, February.
    6. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    7. Ralf Korn & Paul Wilmott, 2002. "Optimal Portfolios Under The Threat Of A Crash," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 171-187.
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    Citations

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    Cited by:

    1. Fu, Jun & Wei, Jiaqin & Yang, Hailiang, 2014. "Portfolio optimization in a regime-switching market with derivatives," European Journal of Operational Research, Elsevier, vol. 233(1), pages 184-192.
    2. Chakroun, Fatma & Abid, Fathi, 2014. "Dynamic asset allocation for bank under stochastic interest rates," MPRA Paper 59295, University Library of Munich, Germany.

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