PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS - Lakner, Peter; Ma Nygren, Lan (Mathematical finance, 2006)
Keywords: Assets; Brownian motion; Clark-Ocone formula; Derivation; downside constraint; Financial analysis; Financial economics; Financial market; Financial models; gradient operator; Hedging; Interest rates; Investors; Malliavin calculus; Mathematical economics; Mathematical models; optimal portfolio selection; Optimization; Portfolio management; Portfolio selection; Studies; Utility functions; Utility maximization