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.
Type de document :
Pré-publication, Document de travail
2014
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https://hal.archives-ouvertes.fr/hal-01058657
Contributeur : Huyen Pham <>
Soumis le : mercredi 27 août 2014 - 15:58:07
Dernière modification le : mardi 30 mai 2017 - 01:17:30
Document(s) archivé(s) le : vendredi 28 novembre 2014 - 10:40:50

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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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