A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT

DOI10.1142/S0219024900000140MaRDI QIDQ4528080zbMATH OpenOpenAlexFDO

Authors

Publication date 20 August 2001

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024900000140

zbMATH Keywords

large deviationexpected utilitytail probabilitiesasset returnsdilation exponentportfolio selecton

Mathematics Subject Classification ID

Recommendations

• Large deviations theorems for optimal investment problems with large portfolios
• Long time asymptotics for optimal investment
• Optimal Asset Allocation with Asymptotic Criteria
• Portfolio choice with endogenous utility: a large deviations approach.
• Optimal portfolios with asymptotic criteria

Cites work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Large deviations of sums of independent random variables
• Strategic asset allocation
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets

Cited in

(6)

• Portfolio choice with endogenous utility: a large deviations approach.
• Portfolios for long-term investors
• Large deviations theorems for optimal investment problems with large portfolios
• Portfolio management without probabilities or statistics
• On the strategic behavior of large investors: a mean-variance portfolio approach
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets

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