英文标题：
《Retirement Wealth under Fixed Limits: The Optimal Strategy for
Exponential Utility》
---
作者：
Lena Schutte
---
最新提交年份：
2017
---
英文摘要：
For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the optimal strategy with options. The resulting distribution is investigated in terms of change of quantiles. The theory is illustrated with quantitative examples, including an assessment of the effects of restricting the strategy to positive investments.
---
中文摘要：
对于Black-Scholes环境下的指数效用最大化投资策略，在终端财富上引入了固定的上限和下限约束。这相当于将最优策略与选项相结合。根据分位数的变化来研究由此产生的分布。该理论通过定量示例进行了说明，包括对将战略限制为积极投资的效果的评估。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
PDF下载：
-->