Optimal portfolio selection and compression in an incomplete market
Probability
2008-12-02 v1 Optimization and Control
Portfolio Management
Abstract
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio, i.e. for the portfolio compression problem. By this we mean that an admissible strategies may include no more than m different stocks concurrently, where m may be less than the total number n of available stocks.
Cite
@article{arxiv.math/0207260,
title = {Optimal portfolio selection and compression in an incomplete market},
author = {Nikolai Dokuchaev and Ulrich Haussmann},
journal= {arXiv preprint arXiv:math/0207260},
year = {2008}
}