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Robust maximization of asymptotic growth

Kardaras, Constantinos and Robertson, Scott (2012) Robust maximization of asymptotic growth. The Annals of Applied Probability, 22 (4). pp. 1576-1610. ISSN 1050-5164

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Abstract

This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential operator which depends on the covariance structure of the underlying process used for investing. The robust growth-optimal strategy can also be seen as a limit, as the terminal date goes to infinity, of optimal arbitrages in the terminology of Fernholz and Karatzas.

Item Type: Article
Official URL: http://www.imstat.org/aap/
Additional Information: © 2012 Institute of Mathematical Statistics
Library of Congress subject classification: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: G - Financial Economics > G1 - General Financial Markets > G10 - General
Sets: Departments > Statistics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 30 Jul 2012 13:27
URL: http://eprints.lse.ac.uk/44994/

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