Abstract
Typically portfolio analysis is based on the expected utility or the mean-variance approach. Although the expected utility approach is the more general one, practitioners still appreciate the mean-variance approach. We give a common framework including both types of selection criteria as special cases by considering portfolio problems with terminal wealth constraints. Moreover, we propose a solution method for such constrained problems.
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Korn, R., Trautmann, S. Continuous-time portfolio optimization under terminal wealth constraints. ZOR - Methods and Models of Operations Research 42, 69–92 (1995). https://doi.org/10.1007/BF01415674
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DOI: https://doi.org/10.1007/BF01415674