scholarly journals Admissible Strategies in Semimartingale Portfolio Selection

2011 ◽  
Vol 49 (1) ◽  
pp. 42-72 ◽  
Author(s):  
Sara Biagini ◽  
Aleš Černý
Keyword(s):  
Portfolio Selection ◽  
Admissible 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.

AN APPROACH TO THE PROBLEM OF PORTFOLIO SELECTION

1996 ◽  
Vol 01 (01) ◽  
Author(s):  
T. Lorenzana ◽  
N. Márquez ◽  
S. Sardà
Keyword(s):  
Portfolio Selection

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach
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