Portfolio Optimization

Robert Jarrow ()

Chapter Chapter 22 in Continuous-Time Asset Pricing Theory, 2021, pp 419-432 from Springer

Abstract: Abstract This chapter studies a trader’s portfolio optimization problem under trading constraints. Given is the normalized trading constrained market S , 𝔽 , ℙ $$\left (S,\mathbb {F},\mathbb {P}\right )$$ where the money market account B t = 1 for all t ≥ 0.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-74410-6_22

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DOI: 10.1007/978-3-030-74410-6_22

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