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 |
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| Official URL: | http://www.imstat.org/aap/ |
| Additional Information: | © 2012 Institute of Mathematical Statistics |
| Uncontrolled Keywords: | asymptotic growth rate, robustness, generalized martingale problem, optimal arbitrage |
| 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/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/44994/ |
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