Portfolio Optimization under Correlation Constraint

@article{Maheshwari2019PortfolioOU,
  title={Portfolio Optimization under Correlation Constraint},
  author={Aditya Maheshwari and Traian A. Pirvu},
  journal={Mutual Funds},
  year={2019}
}
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable index at some benchmark time horizon. The goal is to maximize portofolio's expected exponential utility subject to the correlation constraint. Two types of optimal portfolio strategies are considered: the… Expand

References

SHOWING 1-10 OF 18 REFERENCES
Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
  • H. Wu
  • Mathematics, Computer Science
  • J. Appl. Math.
  • 2013
  • 18
  • PDF
Risk minimization and portfolio diversification
  • 4
  • PDF
A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution
  • 9
  • PDF
Utility Indifference Pricing: A Time Consistent Approach
  • 14
  • PDF
A Multiperiod Equilibrium Pricing Model
  • 27
  • Highly Influential
  • PDF
Optimal portfolios under a correlation constraint
  • 5
  • Highly Influential
Option pricing: A simplified approach☆
  • 5,511
  • PDF
Theory of Games and Economic Behavior.
  • 15,111
  • PDF
...
1
2
...