CONSTRAINED CONTINUOUS-TIME PROBLEMS

Ralf Korn
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Ralf Korn: Johannes Gutenberg-Universität Mainz, Germany

Chapter 4 in Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time, 1997, pp 101-150 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Portfolio Problems with ConstraintsA Dual Method to solve Portfolio Problems with Constraints on the Terminal WealthA Continuous-Time Mean-Variance ProblemPortfolio Problems with Constrained StrategiesSome Examples of Constrained Problems

Date: 1997
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