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- W4287979191 abstract "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 subgame perfect and the precommitment ones. We find analytical expressions for the constrained subgame perfect (CSGP) and the constrained precommitment (CPC) portfolio strategies. Both these portfolio strategies yield significantly lower risk when compared to the unconstrained setting, at the cost of a small utility loss. The performance of the CSGP and CPC portfolio strategies is similar." @default.
- W4287979191 created "2022-07-26" @default.
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- W4287979191 date "2019-12-28" @default.
- W4287979191 modified "2023-09-30" @default.
- W4287979191 title "Portfolio Optimization under Correlation Constraint" @default.
- W4287979191 doi "https://doi.org/10.48550/arxiv.1912.12521" @default.
- W4287979191 hasPublicationYear "2019" @default.
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