Optimal portfolio selection and compression in an incomplete market

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dc.creatorDokuchaev, Nikolai
dc.creatorHaussmann, Ulrich
dc.date2002-07-27
dc.date.accessioned2026-07-07T12:07:13Z
dc.date.available2026-07-07T12:07:13Z
dc.descriptionWe 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.
dc.identifierhttps://arxiv.org/abs/math/0207260
dc.identifierhttp://arxiv.org/abs/math/0207260
dc.identifierQuantitative Finance 1(2001), iss. 3, 336-345
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208892
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.subject49K45, 60G15, 93E20
dc.titleOptimal portfolio selection and compression in an incomplete market
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