A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT

DOI10.1142/S0219024900000140zbMATH Open0966.91043OpenAlexW2122790330MaRDI QIDQ4528080FDOQ4528080

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

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

zbMATH Keywords

large deviationexpected utilitytail probabilitiesasset returnsdilation exponentportfolio selecton

Mathematics Subject Classification ID

Cites Work

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

Cited In (6)

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

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