The structure of optimal portfolio strategies for continuous time markets
نویسنده
چکیده
The paper studies problem of continuous time optimal portfolio selection for a diffusion model of incomplete market. It is shown that, under some mild conditions, the suboptimal strategies for investors with different performance criterions can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. In other words, a relaxed version of Mutual Fund Theorem is obtained.
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Continuous time portfolio optimization
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ورودعنوان ژورنال:
- CoRR
دوره abs/1105.1488 شماره
صفحات -
تاریخ انتشار 2011