Optimal Asset Allocation with Asymptotic Criteria
Optimization and Control
2008-12-02 v1 Portfolio Management
Abstract
Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's wealth and the factors. These formulas enable fast computation of a wide range of investment criteria. The results are illustrated by a numerical example that shows that the optimal portfolio rules are sensitive to the specification of the investment criterion.
Cite
@article{arxiv.math/0304151,
title = {Optimal Asset Allocation with Asymptotic Criteria},
author = {Vladislav Kargin},
journal= {arXiv preprint arXiv:math/0304151},
year = {2008}
}
Comments
22 pages, 5 figures, forthcoming in International Journal of Theoretical and Applied Finance (IJTAF)