The structure of optimal portfolio strategies for continuous time markets

Nikolai Dokuchaev

Papers from arXiv.org

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.

Date: 2011-05, Revised 2014-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1105.1488

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