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Non-Utility Based Portfolio Selection Models

In: Optimal Portfolios Stochastic Models for Optimal Investment and Risk Management in Continuous Time

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  • Ralf Korn

    (Johannes Gutenberg-Universität Mainz, Germany)

Abstract

The following sections are included:Universal Portfolios: The Discrete-Time ModelAsymptotically Optimal Portfolios and Universal Portfolios in Continuous TimeOptimal Cash Management in Equity Index Tracking with Transaction CostsValue Preserving Portfolio Strategies

Suggested Citation

  • Ralf Korn, 1997. "Non-Utility Based Portfolio Selection Models," World Scientific Book Chapters, in: Optimal Portfolios Stochastic Models for Optimal Investment and Risk Management in Continuous Time, chapter 6, pages 223-294, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812385345_0006
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