Modelling Possibility of Short-Term Forecasting of Market Parameters for Portfolio Selection

Nikolai Dokuchaev ()
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Nikolai Dokuchaev: Department of Mathematics & Statistics, Curtin University

Annals of Economics and Finance, 2015, vol. 16, issue 1, 143-161

Abstract: We discuss modelling possibility of short-term forecasting for market pa- rameters in the portfolio selection problems. We suggest a continuous time financial market model and a discrete time market model featuring this pos- sibility. For these models, optimal portfolio selection problem has an optimal quasi-myopic solution. Computationally, the problem is reduced to a stochas- tic optimal control problem with delay in the plant equation. This allowed to quantify the degree of non-myopicness for a given utility function.

Keywords: Market models; Portfolio selection; Forecasting; Myopic strategies (search for similar items in EconPapers)
JEL-codes: C52 C53 G11 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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