Optimal portfolio selection and compression in an incomplete market
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Publication:4646491
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.
Recommendations
- Portfolio selection under incomplete information
- Portfolio optimization in discontinuous markets under incomplete information
- Optimal portfolio and consumption with discontinuous prices and imcomplete information
- Portfolio optimization
- An Approximate Solution for Optimal Portfolio in Incomplete Markets
Cited in
(8)- scientific article; zbMATH DE number 2174800 (Why is no real title available?)
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