Optimal portfolio strategies and the demand for durable goods

1991 ◽  
Vol 19 (1) ◽  
pp. 15-21
Author(s):  
John Roufagalas
Keyword(s):  
Durable Goods ◽  
Optimal Portfolio ◽  
Portfolio Strategies

On the structure of multifactor optimal portfolio strategies

2018 ◽  
Vol 24 (3) ◽  
pp. 1043-1058
Author(s):  
Nikolai Dokuchaev
Keyword(s):  
Mutual Funds ◽  
Portfolio Selection ◽  
Optimal Strategies ◽  
Optimal Portfolio ◽  
Performance Criteria ◽  
Value Functions ◽  
Portfolio Strategies ◽  
Optimal Portfolio Selection ◽  
Admissible Strategies ◽  
Hamilton Jacobi Bellman

The paper studies problem of optimal portfolio selection. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. This implies dimension reduction for the optimal portfolio selection problem: all rational investors may achieve optimality using the same mutual funds plus a saving account. This result is obtained under mild restrictions for the utility functions without any assumptions on regularity of the value function. The proof is based on the method of dynamic programming applied indirectly to some convenient approximations of the original problem that ensure certain regularity of the value functions. To overcome technical difficulties, we use special time dependent and random constraints for admissible strategies such that the corresponding HJB (Hamilton–Jacobi–Bellman) equation admits “almost explicit” solutions generating near optimal admissible strategies featuring sufficient regularity and integrability.

scholarly journals Nonzero-Sum Stochastic Differential Portfolio Games under a Markovian Regime Switching Model

2015 ◽  
Vol 2015 ◽  
pp. 1-18 ◽  
Author(s):  
Chaoqun Ma ◽  
Hui Wu ◽  
Xiang Lin
Keyword(s):  
Markov Chain ◽  
Continuous Time ◽  
Regime Switching ◽  
Game Problem ◽  
Comparative Statics ◽  
Optimal Portfolio ◽  
Hjb Equations ◽  
Risky Assets ◽  
Portfolio Strategies ◽  
The Impact

We consider a nonzero-sum stochastic differential portfolio game problem in a continuous-time Markov regime switching environment when the price dynamics of the risky assets are governed by a Markov-modulated geometric Brownian motion (GBM). The market parameters, including the bank interest rate and the appreciation and volatility rates of the risky assets, switch over time according to a continuous-time Markov chain. We formulate the nonzero-sum stochastic differential portfolio game problem as two utility maximization problems of the sum process between two investors’ terminal wealth. We derive a pair of regime switching Hamilton-Jacobi-Bellman (HJB) equations and two systems of coupled HJB equations at different regimes. We obtain explicit optimal portfolio strategies and Feynman-Kac representations of the two value functions. Furthermore, we solve the system of coupled HJB equations explicitly in a special case where there are only two states in the Markov chain. Finally we provide comparative statics and numerical simulation analysis of optimal portfolio strategies and investigate the impact of regime switching on optimal portfolio strategies.

scholarly journals Portfolio Optimization under Correlation Constraint

Risks ◽  
2020 ◽  
Vol 8 (1) ◽  
pp. 15
Author(s):  
Aditya Maheshwari ◽  
Traian A. Pirvu
Keyword(s):  
Portfolio Optimization ◽  
Financial Market ◽  
Lower Risk ◽  
Time Horizon ◽  
Optimal Portfolio ◽  
Exponential Utility ◽  
Portfolio Strategies ◽  
Utility Loss ◽  
The Cost ◽  
Analytical Expressions

We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable index at some benchmark time horizon. The goal is to maximize a portofolio’s expected exponential utility subject to the correlation constraint. Two types of optimal portfolio strategies are considered: the subgame perfect and the precommitment ones. We find analytical expressions for the constrained subgame perfect (CSGP) and the constrained precommitment (CPC) portfolio strategies. Both these portfolio strategies yield significantly lower risk when compared to the unconstrained setting, at the cost of a small utility loss. The performance of the CSGP and CPC portfolio strategies is similar.

Optimal portfolio strategies in the presence of regimes in asset returns

2021 ◽  
Vol 123 ◽  
pp. 106030
Author(s):  
Carlos Heitor Campani ◽  
René Garcia ◽  
Marcelo Lewin
Keyword(s):  
Asset Returns ◽  
Optimal Portfolio ◽  
Portfolio Strategies
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