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https://doi.org/10.1007/s00500-018-3094-0

has been cited by the following article:

• TITLE: Portfolio Mathematics with General Linear and Quadratic Constraints

  AUTHORS: David L. Stowe

  KEYWORDS: Portfolio Mathematics, Optimization, Delegated Portfolio Management, Tracking Error, Utility Maximization

  JOURNAL NAME: Journal of Mathematical Finance, Vol.9 No.4, October 30, 2019

  ABSTRACT: This paper explores the mathematics behind optimal portfolio construction when relative utility and risk are considered together in a general sense. I derive the portfolio optimization problems when subject to both a general liner constraint and a constraint to tracking error (a quadratic constraint), the most pervasive constraint placed on delegated portfolio managers. This unifies three very influential papers from the evolution of optimal portfolio theory. In addition, I also analyze the general linear constraint when applied to Sharpe Ratio maximization. When applied together, these formulations can allow principals and agents to better analyze alternatives and negotiate contracting in order to ensure that the constraints generate proper utility maximization.