Optimal Asset Allocation with Asymptotic Criteria

Vladislav Kargin ()

Papers from arXiv.org

Abstract: Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates 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.

Date: 2003-04
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Published in International Journal of Theoretical and Applied Finance, 2003, 6, 593-604

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0304151

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