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.
This paper is a sequel to , 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 , 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)|
|Additional Information:||© 1990 the author|
|Uncontrolled Keywords:||Investment; portfolios; semimartingales; processes with independent increments; random measures; optimisation|
|Library of Congress subject classification:||H Social Sciences > HG Finance|
|Sets:||Research centres and groups > Financial Markets Group (FMG)
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