ON PORTFOLIO CHOICE BY MAXIMIZING THE OUTPERFORMANCE PROBABILITY
| Autor: | Anatolii A. Puhalskii |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
Economics and Econometrics
Geometric Brownian motion Mathematical optimization Heuristic Applied Mathematics Optimal control Asymptotically optimal algorithm Accounting Economics Portfolio Large deviations theory Post-modern portfolio theory Portfolio optimization Social Sciences (miscellaneous) Finance |
| Zdroj: | Mathematical Finance. 21:145-167 |
| ISSN: | 0960-1627 |
| DOI: | 10.1111/j.1467-9965.2010.00420.x |
| Popis: | We consider the problem of optimal portfolio selection for a multidimensional geometric Brownian motion model. We look for portfolios that maximize the probability of outperforming a stochastic benchmark. More specifically, we seek to maximize the decay rate of the shortfall probability and (or) to minimize the decay rate of the outperformance probability in the long run. A simple heuristic enables us to find an asymptotically optimal investment policy. The results provide interesting insights. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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