Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment

Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment

In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of the underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of admissible controls under this problem setup. Specifically, we establish a rigorous first order approximation of the value function associated to a fixed zero...

Optimal Portfolio Strategy with Discounted Stochastic Cash Inflows

This paper examines optimal portfolios with discounted stochastic cash inflows (SCI). The cash inflows are invested into a market that is characterized by inflation-linked bond, a stock and a cash account. It was assumed that inflationlinked bond, stock and the cash inflows are stochastic and follow a standard geometric Brownian motion. The variational form of Merton portfolio strategy was obta...

Introducing a Relational Network DEA Model with Stochastic Intermediate measures for Portfolio Optimization

Optimal Design for a Varying Environment

This project involves using mathematical models to optimize the performance of a diffractive optical element. Unlike the usual optimization problem, we will seek methods for finding an optimal design in the presence of environmental variability. Sources of variability can include changes in manufacturing or operating conditions. The methods will be applied to designing a diffractive optical ele...

REGRESSIONS WITH TWO SLOWLY VARYING REGRESSORS 1 Regressions with Two Slowly Varying Regressors: Hidden Discontinuities in Asymptotic Behavior

Asymptotic behavior of the OLS estimator for regressions with two slowly varying regressors is studied. It is shown that the asymptotic distribution may belong to one of four types depending on the relative rates of growth of the regressors. The paper expands and corrects recent results by P.C.B.Phillips (2007).