Portfolio Optimization

Eckhard Platen () and David Heath ()
Additional contact information
Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 11 in A Benchmark Approach to Quantitative Finance, 2006, pp 403-437 from Springer

Abstract: Abstract This chapter derives and extends a range of classical results from portfolio optimization and derivative pricing in incomplete markets in the context of a CFM. First, we consider the question of how wealth should be optimally transferred into the future given the preferences of an investor. This is a central question in economics and finance and leads into the area of portfolio optimization. We shall advocate the GOP as the best long term investment. This is consistent with views formulated in Latané (1959), Breiman (1961), Hakansson (1971) and Thorp (1972).

Date: 2006
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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:spr:sprfcp:978-3-540-47856-0_11

Ordering information: This item can be ordered from
http://www.springer.com/9783540478560

DOI: 10.1007/978-3-540-47856-0_11

Access Statistics for this chapter

More chapters in Springer Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().