Maximizing survival,growth and goal reaching under borrowing constraints |
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Authors: | Haluk Yener |
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Institution: | 1. Department of Business Administration, Istanbul Bilgi University, L1- 122 Eyup, Istanbul, 34060, Turkey.haluk.yener@bilgi.edu.tr |
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Abstract: | In this paper, we consider the survival, growth and goal reaching maximization problems treated in Browne Math. Oper. Res., 1997, 22, 468–493] and solve them in a market constrained due to borrowing prohibition. To solve the problems, we first construct an auxiliary market introduced by Cvitanic and Karatzas Ann. Appl. Probab., 1992, 2, 767–818] and then apply the dynamic programming approach. Via our solutions, an alternative approach is introduced in order to solve the problems defined under an auxiliary market. |
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Keywords: | Applied mathematical finance Optimal portfolios Dynamic programming Control and Optimization Borrowing constraints Auxiliary market |
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