Long time asymptotics for optimal investment
Portfolio Management
2014-08-28 v1 Probability
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.
Keywords
Cite
@article{arxiv.1408.6455,
title = {Long time asymptotics for optimal investment},
author = {Huyen Pham},
journal= {arXiv preprint arXiv:1408.6455},
year = {2014}
}