The structure of optimal portfolio strategies for continuous time markets
Portfolio Management
2014-04-15 v5 Systems and Control
Optimization and Control
Probability
Abstract
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. In other words, a dimension reduction is achieved via a relaxed version of the Mutual Fund Theorem.
Keywords
Cite
@article{arxiv.1105.1488,
title = {The structure of optimal portfolio strategies for continuous time markets},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1105.1488},
year = {2014}
}