Optimal Asset Allocation with Asymptotic Criteria
نویسنده
چکیده
Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor’s wealth and the factors. These formulas enable fast computation of a wide range of investment criteria. The results are illustrated by a numerical example that shows that the optimal portfolio rules are sensitive to the specification of the investment criterion.
منابع مشابه
Asymptotic Close to Optimal Resource Allocation in Centralized Multi-band Wireless Networks
This paper concerns sub-channel allocation in multi-user wireless networks with a view to increasing the network throughput. It is assumed there are some sub-channels to be equally divided among active links, such that the total sum rate increases, where it is assumed each link is subject to a maximum transmit power constraint. This problem is found to be a non-convex optimization problem and i...
متن کاملAsset Allocation in Finance: A Bayesian Perspective
In this paper, we survey asset allocation in finance from a Bayesian decisiontheoretic perspective. Our investor wishes to maximize the expected long-run growth of the market returns. We show how Stein’s lemma helps deriving the Kelly criteria for optimal bet size and Merton’s allocation rule for risky stocks. We therefore provide an equivalence between these two criteria. Bayesian inference na...
متن کاملAsymptotic Analysis for Target Asset Portfolio Allocation with Small Transaction Costs
In this paper we discuss the asset allocation in the presence of small proportional transaction costs. The objective is to keep the asset portfolio close to a target portfolio and at the same time to reduce the trading cost in doing so. We derive the variational inequality and prove a verification theorem. Furthermore, we apply the second order asymptotic expansion method to characterize explic...
متن کاملAsymptotic properties of the sample mean in adaptive sequential sampling with multiple selection criteria
We extend the method of adaptive two-stage sequential sampling toinclude designs where there is more than one criteria is used indeciding on the allocation of additional sampling effort. Thesecriteria, or conditions, can be a measure of the targetpopulation, or a measure of some related population. We developMurthy estimator for the design that is unbiased estimators fort...
متن کاملBehavioral Optimization Models for Multicriteria Portfolio Selection
In this paper, behavioral construct of suitability is used to develop a multi-criteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria d...
متن کامل