The most natural way of ordering portfolios is by comparing their payoffs. A portfolio with payoff higher than the payoff of another portfolio is greater in the sense of portfolio dominance than that other portfolio. Portfolio dominance is a lattice order if the supremum and the infimum of any two portfolios are well-defined. We study security markets with infinitely many securities and arbitra...

We consider the optimal investment-consumption problem with an unknown distribution for the investment returns. After taking the Bayesian approach, the problem is formulated as a Markov decision process in a nonparametric context. We discuss the existence of the optimal strategy and derive the closed form solution of the optimal portfolio. When the prior distribution is a Dirichlet process, the...

Abstract: We introduce a sequential investment strategy, called semi-log-optimal strategy. This strategy is related to the log-optimal portfolio approach, where instead of logarithmic objective function its Taylor series approximation is used. The asymptotic rate of growth is analyzed under the only assumption that the market is stationary and ergodic. The performance of the strategy is compare...

We study a financial market where asymmetric information, mispricing and jumps exist, and link the random optimal portfolios of informed and uninformed investors to the deterministic optimal portfolio of the symmetric market, where no mispricing exists. In particular, we show that under quadratic approximation, the expectation of the random optimal portfolio in the asymmetric market is equal to...

A natural approach to enhance portfolio diversification is rely on factor-risk parity, which yields the whose risk equally spread among a set of uncorrelated factors. The standard choice take variance as measure, and principal components (PCs) asset returns Although PCs are unique useful for dimension reduction, they an arbitrary choice: any rotation results in This problematic because we demon...