Portfolio choice under dynamic investment performance criteria

被引：53
|
作者：
Musielay, M. [2 ]
Zariphopoulou, T. [1 ]
机构：
[1] Univ Texas Austin, Austin, TX 78712 USA
[2] BNP Paribas, London, England
来源：
QUANTITATIVE FINANCE | 2009年 / 9卷 / 02期
基金：
美国国家科学基金会;
关键词：
Portfolio choice; Dynamic investment performance; Self-financing investment strategies; UTILITY;
D O I：
10.1080/14697680802624997
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
A new dynamic criterion for measuring the performance of self-financing investment strategies is introduced. To this aim, a family of stochastic processes defined on [ 0,infinity) and indexed by a wealth argument is used. Optimality is associated with their martingale property along the optimal wealth trajectory. The optimal portfolios are constructed via stochastic feedback controls that are functionally related to differential constraints of fast diffusion type. A multi-asset Ito-type incomplete market model is used.
引用
收藏
页码：161 / 170
页数：10
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