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Portfolio selection subject to growth objectives

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  • Hellwig, Klaus

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 10 (September)
Pages: 2119-2128

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:10:p:2119-2128

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Speckbacher, Gerhard, 1998. "Maintaining capital intact and WARP," Mathematical Social Sciences, Elsevier, vol. 36(2), pages 145-155, September.
  2. Hellwig, Klaus, 1998. "Creating value," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 141-147.
  3. Hellwig, Klaus, 1996. " Portfolio Selection under the Condition of Value Preservation," Review of Quantitative Finance and Accounting, Springer, vol. 7(3), pages 299-305, November.
  4. Klaus Hellwig, 2002. "Value management," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 133-138.
  5. Ralf Korn, 2000. "Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 227-241.
  6. Hakansson, Nils H., 1971. "Capital Growth and the Mean-Variance Approach to Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(01), pages 517-557, January.
  7. Ralf Korn, 1997. "Value preserving portfolio strategies in continuous-time models," Computational Statistics, Springer, vol. 45(1), pages 1-43, February.
  8. Hellwig, Klaus, 2002. "Growth and utility maximization," Economics Letters, Elsevier, vol. 77(3), pages 377-380, November.
  9. R. Baviera & M. Pasquini & M. Serva & A. Vulpiani, 1998. "Optimal Strategies for Prudent Investors," Papers cond-mat/9804297, arXiv.org, revised Jul 1998.
  10. Michael Magill & Martine Quinzii, 2002. "Theory of Incomplete Markets, Volume 1," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262632543, December.
  11. Ralf Korn, 1998. "Value preserving portfolio strategies and the minimal martingale measure," Computational Statistics, Springer, vol. 47(2), pages 169-179, June.
  12. Hellwig, K. & Speckbacher, G. & Wentges, P., 2000. "Utility maximization under capital growth constraints," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 1-12, February.
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Cited by:
  1. Klaus Hellwig, 2005. "Portfolio Selection with Little Information about the Future," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 331-335, November.
  2. Hellwig, Klaus, 2005. "Sustainability revisited," Economics Letters, Elsevier, vol. 87(2), pages 193-197, May.
  3. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.

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