NON-UTILITY BASED PORTFOLIO SELECTION MODELS

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

Chapter 6 in Optimal Portfolios:Stochastic Models for Optimal Investment and Risk Management in Continuous Time, 1997, pp 223-294 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Universal Portfolios: The Discrete-Time ModelAsymptotically Optimal Portfolios and Universal Portfolios in Continuous TimeOptimal Cash Management in Equity Index Tracking with Transaction CostsValue Preserving Portfolio Strategies

Date: 1997
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