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- W2045501766 abstract "We consider the portfolio problem of an investor whose wealth is constrained to be at least as large as that generated by investment in a stochastic benchmark portfolio. Using standard option pricing results, the optimal portfolio policy of a HARA-utility investor is derived explicitly. This policy is shown to be equivalent, at any point in time, to the investor's optimal unconstrained policy when he has contracted to paying out a proportion of the value of the benchmark portfolio at the terminal date. This proportion, which lies between zero and one, is smaller the more likely it is that the investor will strictly outperform the benchmark over the investment horizon." @default.
- W2045501766 created "2016-06-24" @default.
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- W2045501766 date "2001-10-01" @default.
- W2045501766 modified "2023-10-18" @default.
- W2045501766 title "Optimal investment with minimum performance constraints" @default.
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- W2045501766 doi "https://doi.org/10.1016/s0165-1889(99)00066-4" @default.
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