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Value management


  • Klaus Hellwig


Growth maximization as a criterion for multiperiod portfolio selection implies zero consumption before the planning horizon. To allow for intermediate consumption in this paper growth maximization is generalized by the condition that the initial portfolio value follows a given growth pattern. It is shown that a solution can be found by solving an appropriate nonlinear optimization problem. The analysis is carried out under conditions of certainty and uncertainty.

Suggested Citation

  • Klaus Hellwig, 2002. "Value management," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 133-138.
  • Handle: RePEc:taf:quantf:v:2:y:2002:i:2:p:133-138 DOI: 10.1088/1469-7688/2/2/304

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    References listed on IDEAS

    1. Prema-chandra Athukorala & Satish Chand, 1998. "Trade Orientation and Productivity Gains from International Production: A Study of Overseas Operations of US Multinationals," Departmental Working Papers 1998-02, The Australian National University, Arndt-Corden Department of Economics.
    2. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, vol. 34, pages 411-411.
    3. A. C. Miller, 1902. "Fiscal Reciprocity," Journal of Political Economy, University of Chicago Press, vol. 10, pages 255-255.
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    Cited by:

    1. Hellwig, Klaus, 2004. "Portfolio selection subject to growth objectives," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2119-2128, September.
    2. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
    3. Hellwig, Klaus, 2005. "Sustainability revisited," Economics Letters, Elsevier, vol. 87(2), pages 193-197, May.

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