Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation

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Title:: Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation
Document type:: Zeitschriftenaufsatz
Author(s):: Escobar-Anel, Marcos ; Kschonnek, Michel ; Zagst, Rudi
Keywords:: Original Article ; Dynamic portfolio optimization ; Allocation constraints ; Terminal wealth constraints ; Utility maximization ; HJB ; Concavification ; 91G10 ; 91B70 ; 49L20
Journal title:: Mathematical Methods of Operations Research
Year:: 2022
Journal volume:: 95
Journal issue:: 1
Pages contribution:: 101-140
Fulltext / DOI:: doi:10.1007/s00186-022-00772-2
Publisher:: Springer Berlin Heidelberg
E-ISSN:: 1432-2994 ; 1432-5217
Date of publication:: 27.02.2022
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