Optimal Asset Allocation with Asymptotic Criteria

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dc.creatorKargin, Vladislav
dc.date2003-04-11
dc.date.accessioned2026-07-07T12:07:13Z
dc.date.available2026-07-07T12:07:13Z
dc.descriptionAssume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's wealth and the factors. These formulas enable fast computation of a wide range of investment criteria. The results are illustrated by a numerical example that shows that the optimal portfolio rules are sensitive to the specification of the investment criterion.
dc.description22 pages, 5 figures, forthcoming in International Journal of Theoretical and Applied Finance (IJTAF)
dc.identifierhttps://arxiv.org/abs/math/0304151
dc.identifierhttp://arxiv.org/abs/math/0304151
dc.identifierInternational Journal of Theoretical and Applied Finance, 2003, 6, 593-604
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208894
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.subject91B28; 60J70
dc.titleOptimal Asset Allocation with Asymptotic Criteria
dc.typetext

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