Modelling Possibility of Short-Term Forecasting of Market Parameters for Portfolio Selection
نویسندگان
چکیده
We discuss modelling possibility of short-term forecasting for market parameters in the portfolio selection problems. We suggest a continuous time financial market model and a discrete time market model featuring this possibility. For these models, optimal portfolio selection problem has an optimal quasi-myopic solution. Computationally, the problem is reduced to a stochastic optimal control problem with delay in the plant equation. This allowed to quantify the degree of non-myopicness for a given utility function.
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تاریخ انتشار 2015