Long time asymptotics for optimal investment

Huyen Pham
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Huyen Pham: LPMA, CREST

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Abstract: This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as large deviations control pro\-blems, that we solve by duality method leading to ergodic risk-sensitive portfolio optimization problems. Special emphasis is placed on linear factor models where explicit solutions are obtained.

Date: 2014-08
New Economics Papers: this item is included in nep-rmg
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