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Long time asymptotics for optimal investment

Abstract : This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as large deviations control pro\-blems, that we solve by duality method leading to ergodic risk-sensitive portfolio optimization problems. Special emphasis is placed on linear factor models where explicit solutions are obtained.
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https://hal.archives-ouvertes.fr/hal-01058657
Contributor : Huyên Pham <>
Submitted on : Wednesday, August 27, 2014 - 3:58:07 PM
Last modification on : Friday, March 27, 2020 - 2:55:49 AM
Document(s) archivé(s) le : Friday, November 28, 2014 - 10:40:50 AM

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  • HAL Id : hal-01058657, version 1
  • ARXIV : 1408.6455

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Huyen Pham. Long time asymptotics for optimal investment. 2014. ⟨hal-01058657⟩

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