Portfolio Value Management
Portfolio value management deals with the problem of how to determine a portfolio such that the associated portfolio value moves in some desired direction. Two models of portfolio management are presented. The first (second) model considers the case where the portfolio value moves exactly (at least) according to given growth rates. A solution of both models is found by using a fixed-point argument.
On value preserving and growth optimal portfolios
Abstract. In a discrete-time financial market setting, the paper relates various concepts introduced for dynamic portfolios (both in discrete and in continuous time). These concepts are: value preserving portfolios, numeraire portfolios, interest oriented portfolios, and growth optimal portfolios. It will turn out that these concepts are all associated with a unique martingale measure which agrees with the minimal martingale measure only for complete markets.
Present value based portfolio choice
Abstract We formalize a modified present value rule for portfolio decisions under uncertainty based on a state-dependent valuation with opportunity costs. This decision rule is shown to select a unique portfolio which also maximizes the expected logarithmic utility of payoffs.