Turnpike behavior of long-term investments

被引：0
|
作者：
Chi-fu Huang
Thaleia Zariphopoulou
机构：
[1] Long Term Capital Management,
[2] Greenwich,undefined
[3] CT 06830,undefined
[4] USA ,undefined
[5] Department of Mathematics and School of Business,undefined
[6] University of Wisconsin-Madison,undefined
[7] Van Vleck Hall,undefined
[8] 480,undefined
[9] Lincoln Drive,undefined
[10] Madison,undefined
[11] WI 53706,undefined
[12] USA (e-mail: recep@math.wisc.edu) ,undefined
来源：
Finance and Stochastics | 1999年 / 3卷 / 1期
关键词：
Key words: Turnpike portfolios, stochastic control, viscosity solutions JEL classification: D9, G1. Mathematics Subject Classification (1991): 93E20, 60G40;
D O I：
10.1007/s007800050050
中图分类号：
学科分类号：
摘要：
We study the behavior of the optimal portfolio policy of a long-run investor in markets with stationary investment opportunity sets. We provide conditions on the utility function, for large wealth levels, which are sufficient for the optimal portfolio policy to approximate, as the trading horizon becomes very long, the policy of investing a constant proportion of wealth in the various assets. The analysis is carried out by employing the associated HJB equation and recent advances in the area of viscosity solutions.
引用
收藏
页码：15 / 34
页数：19
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