Long-Term Optimal Investment in Matrix Valued Factor Models
نویسندگان
چکیده
منابع مشابه
Long-Term Optimal Investment in Matrix Valued Factor Models
Abstract. Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approaches infinity. This convergence also yields portfolio turnpikes for ge...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2017
ISSN: 1945-497X
DOI: 10.1137/15m1030625