Maximizing survival, growth and goal reaching under borrowing constraints

Haluk Yener

Quantitative Finance, 2015, vol. 15, issue 12, 2053-2065

Abstract: In this paper, we consider the survival, growth and goal reaching maximization problems treated in Browne [ Math. Oper. Res. , 1997, 22 , 468-493] and solve them in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market introduced by Cvitanic and Karatzas [ Ann. Appl. Probab. , 1992, 2 , 767-818] and then apply the dynamic programming approach. Via our solutions, an alternative approach is introduced in order to solve the problems defined under an auxiliary market.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2014.972435 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Maximising Survival, Growth, and Goal Reaching Under Borrowing Constraints (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:15:y:2015:i:12:p:2053-2065

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2014.972435

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().