Portfolio Optimization under Correlation Constraint

  title={Portfolio Optimization under Correlation Constraint},
  author={Aditya Maheshwari and Traian A. Pirvu},
  journal={Mutual Funds},
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


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