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Value management

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  • Klaus Hellwig

Abstract

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

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    1. 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, April.
    2. Ritchken, Peter & Sankarasubramanian, L, 1996. "Bond Price Representations and the Volatility of Spot Interest Rates," Review of Quantitative Finance and Accounting, Springer, vol. 7(3), pages 279-288, November.
    3. Ralf Korn, 1997. "Value preserving portfolio strategies in continuous-time models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(1), pages 1-43, February.
    4. Ralf Korn & Manfred Schäl, 1999. "On value preserving and growth optimal portfolios," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 50(2), pages 189-218, October.
    5. Roberto Baviera & Michele Pasquini & Maurizio Serva & Angelo Vulpiani, 1998. "Optimal Strategies for Prudent Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 1(04), pages 473-486.
    6. R. Baviera & M. Pasquini & M. Serva & A. Vulpiani, 1998. "Optimal Strategies for Prudent Investors," Papers cond-mat/9804297, arXiv.org, revised Jul 1998.
    7. 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(1), pages 517-557, January.
    8. Ralf Korn, 1998. "Value preserving portfolio strategies and the minimal martingale measure," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 47(2), pages 169-179, June.
    9. 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.
    10. Hellwig, Klaus, 1998. "Creating value," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 141-147.
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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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