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Maximizing survival, growth and goal reaching under borrowing constraints

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  • Haluk Yener

Abstract

In this paper, we consider the survival, growth and goal reaching maximization problems treated in Browne [ Math. Oper. Res. , 1997, 22 , 468-493] and solve them in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market introduced by Cvitanic and Karatzas [ Ann. Appl. Probab. , 1992, 2 , 767-818] 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.

Suggested Citation

  • Haluk Yener, 2015. "Maximizing survival, growth and goal reaching under borrowing constraints," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 2053-2065, December.
    • Handle: RePEc:taf:quantf:v:15:y:2015:i:12:p:2053-2065
    DOI: 10.1080/14697688.2014.972435
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    Cited by:

    1. Kamma, Thijs & Pelsser, Antoon, 2022. "Near-optimal asset allocation in financial markets with trading constraints," European Journal of Operational Research, Elsevier, vol. 297(2), pages 766-781.
    2. Huang, Ying & Peng, Jun, 2025. "Minimizing the penalized goal-reaching probability with multiple dependent risks," Statistics & Probability Letters, Elsevier, vol. 217(C).
    3. Haluk Yener & Fuat Can Beylunioglu, 2017. "Outperforming A Stochastic Benchmark Under Borrowing And Rectangular Constraints," Working Papers 1701, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.

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