Foldes, Lucien (1990) Optimal sure portfolio plans. 106. Financial Markets Group, London School of Economics and Political Science, London, UK.
Full text not available from this repository.Abstract
This paper is a sequel to [2], where a model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time was considered in which the vector process representing returns to investment is a general semimartingale with independent increments and the welfare functional has the discounted constant relative risk aversion (CRRA) form. A problem of optimal choice of a sure (i.e. non-random) portfolio plan can be defined in such a way that solutions of this problem correspond to the distant future is sufficiently discounted. This has been proved in [2], land is in part proved again here by different methods. Using the canonical representation of a PII-semimartingale, a formula of Lévy-Khinchin type is derived for the Bilateral Laplace Transform of the compound interest process generated by a sure portfolio plan. With its aid, the existence of an optimal sure portfolio plan is proved under suitable conditions, and various causes of non-existence are identified. Programming conditions characterising an optimal sure portfolio plan are also obtained.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://fmg.lse.ac.uk |
| Additional Information: | © 1990 the author |
| Library of Congress subject classification: | H Social Sciences > HG Finance |
| Sets: | Research centres and groups > Financial Markets Group (FMG) Collections > Economists Online Departments > Economics Collections > LSE Financial Markets Group (FMG) Working Papers |
| Identification Number: | 106 |
| Date Deposited: | 29 May 2008 08:58 |
| URL: | http://eprints.lse.ac.uk/5137/ |
Actions (login required)
 |
Record administration - authorised staff only |
