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Dynamic optimal portfolios benchmarking the stock market

The paper investigates dynamic optimal portfolio strategies of utility maximizing portfolio managers in the presence of risk constraints. Especially we consider
the risk, that the terminal wealth of the portfolio falls short of a certain benchmark level which is proportional to the stock price. This risk is measured by the
Expected Utility Loss. We generalize the findings our previous papers to this case.
Using the Black-Scholes model of a complete financial market and applying martingale methods, analytic expressions for the optimal terminal wealth and the optimal
portfolio strategies are given. Numerical examples illustrate the analytic results.

Identiferoai:union.ndltd.org:DRESDEN/oai:qucosa.de:swb:ch1-200501244
Date06 October 2005
CreatorsGabih, Abdelali, Richter, Matthias, Wunderlich, Ralf
ContributorsTU Chemnitz, Fakultät für Mathematik
PublisherUniversitätsbibliothek Chemnitz
Source SetsHochschulschriftenserver (HSSS) der SLUB Dresden
LanguageEnglish
Detected LanguageEnglish
Typedoc-type:lecture
Formatapplication/pdf, text/plain, application/zip
Relationdcterms:isPartOfhttp://nbn-resolving.de/urn:nbn:de:swb:ch1-200501214

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