Optimal portfolios with asymptotic criteria

DOI10.1007/BF02282049zbMath0785.90015MaRDI QIDQ1313154

Hiroshi Konno, Stanley R. Pliska, Ken-ichi Suzuki

Publication date: 26 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

asymptotic varianceportfolio optimizationasymptotic growth ratestock exchangelong planning horizon

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items

Risk-sensitive control and an optimal investment model. II., Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth, Portfolio optimization in a semi-Markov modulated market, A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function, The regime switching portfolios, Log mean-variance portfolio selection under regime switching, Risk sensitive asset allocation, Optimal long term growth rate of expected utility of wealth

Cites Work

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• Universal Portfolios
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods
• Convex Analysis