Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios

Ralf Korn

Mathematical Finance, 2000, vol. 10, issue 2, 227-241

Abstract: We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation is derived via a mean‐variance argument. It is also embedded into a framework for local approaches to the problem of portfolio optimization.

Date: 2000
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