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Maximising Survival, Growth, and Goal Reaching Under Borrowing Constraints

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  • Haluk Yener
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    Abstract

    In this paper, we consider three problems related to survival, growth, and goal reaching maximization of an investment portfolio with proportional net cash flow. We solve the problems in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market and then apply the dynamic programming approach. Via our solutions, an alternative approach is introduced in order to solve the problems defined under an auxiliary market.

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    File URL: http://arxiv.org/pdf/1209.6385
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1209.6385.

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    Date of creation: Sep 2012
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    Handle: RePEc:arx:papers:1209.6385

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    Web page: http://arxiv.org/

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    1. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers, Massachusetts Institute of Technology (MIT), Department of Economics 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    2. Domenico Cuoco & Jaksa Cvitanic, . "Optimal Consumption Choices for a "Large" Investor," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 04-96, Wharton School Rodney L. White Center for Financial Research.
    3. Jaksa Cvitanić & Ioannis Karatzas, 1996. "HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH-super-2," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 6(2), pages 133-165.
    4. Ioannis Karatzas & (*), S. G. Kou, 1998. "Hedging American contingent claims with constrained portfolios," Finance and Stochastics, Springer, Springer, vol. 2(3), pages 215-258.
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