Portfolio choice under dynamic investment performance criteria

M. Musiela and T. Zariphopoulou

Quantitative Finance, 2009, vol. 9, issue 2, 161-170

Abstract: 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, ∞) 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.

Keywords: Portfolio choice; Dynamic investment performance; Self-financing investment strategies (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (47)

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DOI: 10.1080/14697680802624997

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