IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v2y2002i2p133-138.html
   My bibliography  Save this article

Value management

Author

Listed:
  • Klaus Hellwig

Abstract

Growth maximization as a criterion for multiperiod portfolio selection implies zero consumption before the planning horizon. To allow for intermediate consumption in this paper growth maximization is generalized by the condition that the initial portfolio value follows a given growth pattern. It is shown that a solution can be found by solving an appropriate nonlinear optimization problem. The analysis is carried out under conditions of certainty and uncertainty.

Suggested Citation

  • Klaus Hellwig, 2002. "Value management," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 133-138.
    • Handle: RePEc:taf:quantf:v:2:y:2002:i:2:p:133-138
    DOI: 10.1088/1469-7688/2/2/304
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1088/1469-7688/2/2/304
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1088/1469-7688/2/2/304?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. Ritchken, Peter & Sankarasubramanian, L, 1996. "Bond Price Representations and the Volatility of Spot Interest Rates," Review of Quantitative Finance and Accounting, Springer, vol. 7(3), pages 279-288, November.
    3. R. Baviera & M. Pasquini & M. Serva & A. Vulpiani, 1998. "Optimal Strategies for Prudent Investors," Papers cond-mat/9804297, arXiv.org, revised Jul 1998.
    4. Hakansson, Nils H., 1971. "Capital Growth and the Mean-Variance Approach to Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(1), pages 517-557, January.
    5. Ralf Korn, 1997. "Value preserving portfolio strategies in continuous-time models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(1), pages 1-43, February.
    6. Ralf Korn & Manfred Schäl, 1999. "On value preserving and growth optimal portfolios," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(2), pages 189-218, October.
    7. Roberto Baviera & Michele Pasquini & Maurizio Serva & Angelo Vulpiani, 1998. "Optimal Strategies for Prudent Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 473-486.
    8. Ralf Korn, 1998. "Value preserving portfolio strategies and the minimal martingale measure," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 47(2), pages 169-179, June.
    9. Hellwig, K. & Speckbacher, G. & Wentges, P., 2000. "Utility maximization under capital growth constraints," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 1-12, February.
    10. Hellwig, Klaus, 1998. "Creating value," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 141-147.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
    3. Hellwig, Klaus, 2005. "Sustainability revisited," Economics Letters, Elsevier, vol. 87(2), pages 193-197, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    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. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
    3. 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.
    4. Hellwig, Klaus, 2002. "Growth and utility maximization," Economics Letters, Elsevier, vol. 77(3), pages 377-380, November.
    5. Hellwig, Klaus, 2005. "Sustainability revisited," Economics Letters, Elsevier, vol. 87(2), pages 193-197, May.
    6. 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.
    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, March.
    8. Markowitz, Harry, 2014. "Mean–variance approximations to expected utility," European Journal of Operational Research, Elsevier, vol. 234(2), pages 346-355.
    9. Fu, Chenpeng & Lari-Lavassani, Ali & Li, Xun, 2010. "Dynamic mean-variance portfolio selection with borrowing constraint," European Journal of Operational Research, Elsevier, vol. 200(1), pages 312-319, January.
    10. Wang, Yuanrong & Aste, Tomaso, 2023. "Dynamic portfolio optimization with inverse covariance clustering," LSE Research Online Documents on Economics 117701, London School of Economics and Political Science, LSE Library.
    11. Eckhard Platen, 2004. "A Benchmark Framework for Risk Management," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 15, pages 305-335, World Scientific Publishing Co. Pte. Ltd..
    12. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    13. Leonid Kogan & Stephen A. Ross & Jiang Wang & Mark M. Westerfield, 2006. "The Price Impact and Survival of Irrational Traders," Journal of Finance, American Finance Association, vol. 61(1), pages 195-229, February.
    14. David J. Johnstone, 2007. "The Parimutuel Kelly Probability Scoring Rule," Decision Analysis, INFORMS, vol. 4(2), pages 66-75, June.
    15. Lensberg, Terje, 1999. "Investment behavior under Knightian uncertainty - An evolutionary approach," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1587-1604, September.
    16. Moshe Levy & Adi Rizansky, 2014. "Market failure in the pharmaceutical industry and how it can be overcome: the CureShare mechanism," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 15(2), pages 143-156, March.
    17. Scholtz, Hellmut D., 2002. ""The Gamblers Ruin" und die kritische Wahrscheinlichkeit. Geeignete Risikomaße bei Anlagen zur Alterssicherung?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 43(11), pages 201-208.
    18. Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 79-105, March.
    19. Jörn Sass & Manfred Schäl, 2014. "Numeraire portfolios and utility-based price systems under proportional transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 195-234, October.
    20. Ryle S. Perera, 2020. "Provisions for bank deposit withdrawals and portfolio selection," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-32, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:quantf:v:2:y:2002:i:2:p:133-138. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.