Investment Constraints

Mark H. A. Davis and Sebastien Lleo

Chapter 5 in Risk-Sensitive Investment Management, 2014, pp 89-107 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In the investment models we have considered so far, the fund manager could set the investment policy freely, as long as the allocation to each of the assets remained finite. In practice the situation is different. Fund managers are subject to investment constraints set by regulatory bodies, investors or by the governance structure of the funds. These constraints take the form of minimum and maximum allocations to securities and asset classes as well as upward limits on the amount of leverage the funds are allowed to take…

Keywords: Stochastic Control; Risk Sensitive Control; Dynamic Investment Management; Benchmarked Asset Management; Asset and Liability Management; Jump Diffusion Processes; Lévy Processes; Hamilton–Jacobi–Bellman Equations; Classical Solutions; Viscosity Solutions; Kelly Criterion (search for similar items in EconPapers)
Date: 2014
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