Managing a value-preserving portfolio over time
Article Abstract:
Value-preserving portfolio and consumption policies in a finite-dimensional multiperiod financial market with dynamically incomplete markets are analyzed. The market is assumed to have only trading restrictions that are leverage and short-sale constraints. Value-preserving policies are found to be implemented by myopic expected log-utility maximization. However, the myopic approach does not always induce value-preserving portfolios.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 1996
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A note on portfolio selection with restrictions on leverage
Article Abstract:
Research is presented concerning the maximisation of wealth by investors with particular reference to mean-variance asset allocation as a means of leverage restriction. The retention of risk-free assets or debt is discussed.
Publication Name: European Journal of Operational Research
Subject: Business, international
ISSN: 0377-2217
Year: 2001
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