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Portfolio optimization with a prescribed terminal wealth distribution

  • Published:2021-09-16 Issue: Volume: Page:1-15
  • ISSN:1469-7688
  • Container-title:Quantitative Finance
  • language:en
  • Short-container-title:Quantitative Finance

Author:

Guo Ivan12,Langrené Nicolas3,Loeper Grégoire12,Ning Wei1ORCID

Affiliation:

1. School of Mathematical Sciences, Monash University, Melbourne, Australia

2. Centre for Quantitative Finance and Investment Strategies, Monash University, Melbourne, Australia

3. Data61, Commonwealth Scientific and Industrial Research Organisation, Docklands, Australia

Funder

Australian Research Council

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Hedging goals;Financial Markets and Portfolio Management;2023-11-17

2. Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space;Journal de Mathématiques Pures et Appliquées;2023-07

3. The Properties of Alpha Risk Parity Portfolios;Entropy;2022-11-10

4. Optimal Control of Diffusion Processes with Terminal Constraint in Law;Journal of Optimization Theory and Applications;2022-06-25
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