Optimal portfolio selection and compression in an incomplete market

DOI10.1088/1469-7688/1/3/305zbMATH Open1405.91548arXivmath/0207260OpenAlexW2113000836MaRDI QIDQ4646491FDOQ4646491

Authors: Ulrich G. Haussmann, Nikolai Dokuchaev 

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Abstract: We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio, i.e. for the portfolio compression problem. By this we mean that an admissible strategies may include no more than m different stocks concurrently, where m may be less than the total number n of available stocks.

Full work available at URL: https://arxiv.org/abs/math/0207260

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zbMATH Keywords

incomplete marketoptimal portfolio selectionportfolio compression

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cited In (8)

• Title not available (Why is that?)
• Composition of an efficient portfolio in the Bielecki and Pliska market model
• Mutual fund theorem for continuous time markets with random coefficients
• Discrete time market with serial correlations and optimal myopic strategies
• On the structure of multifactor optimal portfolio strategies
• Optimality of myopic strategies for multi-stock discrete time market with management costs
• A general linear quadratic stochastic control and information value
• Optimal portfolio and certainty equivalence estimator for the appreciation rate

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