Autor:	Puhalskii, Anatolii A., Stutzer, Michael Jay
Rok vydání:	2016
Předmět:	Mathematics - Probability Quantitative Finance - Portfolio Management
Druh dokumentu:	Working Paper
Popis:	We obtain a lower asymptotic bound on the decay rate of the probability of a portfolio's underperformance against a benchmark over a large time horizon. It is assumed that the prices of the securities are governed by geometric Brownian motions with the coefficients depending on an economic factor, possibly nonlinearly. The economic factor is modelled with a general Ito equation. The bound is shown to be tight. More specifically, epsilon-optimal portfolios are obtained under additional conditions.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1602.02192 Zobrazit plný text záznamu View this record from Arxiv