Optimal portfolios with a positive lower bound on final wealth
Author:
Ralf Korn a
| Affiliation: | a Fachbereich Mathematik, Universit t Kaiserslautern, 67653 Kaiserslautern, Germany |
DOI:
10.1080/14697680500167927
Publication Frequency:
8 issues per year
Number of References: 10
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Abstract
We consider the determination of optimal portfolios under a lower bound on the final wealth. Possible applications range from capital guarantee strategies over life insurance investment where part of the benefit is a guaranteed return on capital to continuous-time mean-variance problems with a strictly positive lower bound. Our solution method consists of transforming the original problem into a portfolio problem without a positive lower bound but a transformed utility function and a modified initial wealth.
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| Keywords: Optimal portfolios; Lower bound; Capital guarantee; Martingale method |
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t Kaiserslautern, 67653 Kaiserslautern, Germany
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