Optimal Asset Allocation with Asymptotic Criteria

Slava Karguine ()
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Slava Karguine: Cornerstone Research, 599 Lexington Avenue, New York, NY 10022, USA

International Journal of Theoretical and Applied Finance (IJTAF), 2003, vol. 06, issue 06, 593-604

Abstract: With the assumptions that asset returns follow a stochastic multi-factor process with time-varying conditional expectations and investments are linear functions of factors, we calculate asymptotic joint moments of the logarithm of investor's wealth and the factors. These formulas enable fast computation of a wide range of investment criteria. The results are illustrated by a numerical example that shows that the optimal portfolio rules are sensitive to the specification of the investment criterion.

Keywords: Dynamic portfolio selection; risk sensitive control; stochastic control (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1142/S0219024903002080

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