Outperforming A Stochastic Benchmark Under Borrowing And Rectangular Constraints
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More about this item
Keywords
Hamilton-Jacobi-Bellman Equations; Stochastic optimal control; Portfolio selection; Borrowing constraints; Rectangular constraints; Benchmark; Auxiliary Market;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2017-03-19 (Operations Research)
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