The value of an investment portfolio, obtained by summing each holding times its current asset price. Consumption removes money from portfolio wealth; a self-financing portfolio changes its value only through asset gains. Nonnegative portfolio wealth is a common admissibility restriction in an investment-consumption problem.
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- Investment portfolio
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Incoming links (45)
- Arbitrage
- Benchmark-relative power-utility portfolio
- Binomial exponential-utility terminal wealth
- Constant-proportion portfolio
- Consumption satisfaction stock
- Finite-horizon exponential-utility portfolio
- Investment with fixed debt service
- Learning hedge in a binary-drift investment model
- Logarithmic terminal wealth in a complete market
- Logarithmic utility
- Marginal utility
- Multi-period dividend pricing identity
- Past exam of the mathematics course of the University of Cambridge / 2001 / iii / Paper 23 / 1 / a / Solution
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- Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 29 / 2 / Solution
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- Past exam of the mathematics course of the University of Cambridge / 2003 / iii / Paper 32 / 2 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2003 / iii / Paper 32 / 5 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 34 / 2 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 34 / 4 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 34 / 5 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 35 / 1 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 40 / 2 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 42 / 1 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 42 / 2 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 42 / 4 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 39 / 1 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 39 / 2 / ii / Solution
- Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 39 / 2 / i / Solution
- Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 39 / 3 / ii / Solution
- Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 39 / 3 / i / Solution
- Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 39 / 4 / ii / Solution
- Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 40 / 1 / Solution
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- Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 40 / 3 / Solution
- Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 40 / 4 / Solution
- Path-dependent contingent claim
- Portfolio wealth
- Risk-neutral pricing
- Singular consumption control
- Square-root investment-consumption value
- Terminal wealth floor
- Volatility-penalized terminal fee
- Wealth-to-satisfaction reduction
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