Value preserving strategies and a general framework for local approaches to optimal portfolios

Authors
Korn, R
Citation
R. Korn, Value preserving strategies and a general framework for local approaches to optimal portfolios, MATH FINANC, 10(2), 2000, pp. 227-241
Citations number
21
Categorie Soggetti
Economics
Journal title
MATHEMATICAL FINANCE
ISSN journal
09601627 → ACNP
Volume
10
Issue
2
Year of publication
2000
Pages
227 - 241
Database
ISI
SICI code
0960-1627(200004)10:2<227:VPSAAG>2.0.ZU;2-D
Abstract
We present some new general results on the existence and form of value pres erving portfolio strategies in a general semimartingale setting. The concep t of value preservation is derived via a mean-variance argument. It is also embedded into a framework for local approaches to the problem of portfolio optimization.