Managing a value-preserving portfolio over time

Article Abstract:

Value-preserving portfolio and consumption policies in a finite-dimensional multiperiod financial market with dynamically incomplete markets are analyzed. The market is assumed to have only trading restrictions that are leverage and short-sale constraints. Value-preserving policies are found to be implemented by myopic expected log-utility maximization. However, the myopic approach does not always induce value-preserving portfolios.

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A note on portfolio selection with restrictions on leverage

Article Abstract:

Research is presented concerning the maximisation of wealth by investors with particular reference to mean-variance asset allocation as a means of leverage restriction. The retention of risk-free assets or debt is discussed.

Personal Investing, Personal finance, Investments, Investment analysis, Securities analysis, Leverage (Finance), Leverage

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