Optimal Portfolio Selection Strategies under Some Constraints

摘要

A portfolio selection problem for any utility function is introduced,where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below a benchmark wealth process.The problem is completely solved using a decomposition approach.First,the portfolio selection problem is formulated,and its feasibility is characterized.Then,the problem is decomposed to two steps to solve.After a system of equations for a Lagrange multiplier is solved,the portfolio selection problem is derived as the replicating portfolios of contingent claims.Finally,some simulations are demonstrated.