Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios | Zendy

Korn Ralf | Zendy

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Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios

Author(s) -

Korn Ralf

Publication year - 2000

Publication title -

mathematical finance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.98

H-Index - 81

eISSN - 1467-9965

pISSN - 0960-1627

DOI - 10.1111/1467-9965.00091

Subject(s) - semimartingale , portfolio , argument (complex analysis) , value (mathematics) , mathematical economics , mathematical optimization , portfolio optimization , variance (accounting) , mathematics , local volatility , economics , econometrics , financial economics , volatility (finance) , statistics , stochastic volatility , biochemistry , chemistry , accounting

We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept 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.

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