Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences

Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences We consider an optimal portfolio selection problem to track a riskless reference portfolio. Portfolio management strategies are compared taking into account the investor’s temporal preferences. We investigate stochastic optimality of the strategy that minimizes the expected long-run cost, deriving an asymptotical upper (almost sure) estimate for the difference between the values of the objective functional corresponding to the optimal strategy and for any admissible control. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Automation and Remote Control Springer Journals

Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences

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Publisher
Pleiades Publishing
Copyright
Copyright © 2017 by Pleiades Publishing, Ltd.
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Control, Robotics, Mechatronics; Mechanical Engineering; Computer-Aided Engineering (CAD, CAE) and Design
ISSN
0005-1179
eISSN
1608-3032
D.O.I.
10.1134/S0005117917080124
Publisher site
See Article on Publisher Site

Abstract

We consider an optimal portfolio selection problem to track a riskless reference portfolio. Portfolio management strategies are compared taking into account the investor’s temporal preferences. We investigate stochastic optimality of the strategy that minimizes the expected long-run cost, deriving an asymptotical upper (almost sure) estimate for the difference between the values of the objective functional corresponding to the optimal strategy and for any admissible control.

Journal

Automation and Remote ControlSpringer Journals

Published: Aug 19, 2017

References

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