Optimal Investment Based on Performance Measure and Stochastic Benchmark Under PI and Position Constraints
We consider the portfolio selection problem faced by a manager under the performance ratio with position and portfolio insurance (PI) constraints. By making use of a dual control method in an incomplete market setting, we find the unique pricing kernel in the presence of closed convex cone control c...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/13/11/1846 |
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