Guasoni, Paolo, Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506, Robertson, Scott and Xing, Hao
(2014)
Abstract, classic, and explicit turnpikes.
Finance and Stochastics, 18 (1).
pp. 75-114.
ISSN 0949-2984
Abstract
Portfolio turnpikes state that as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payoffs and portfolios converge under their myopic probabilities. In diffusion models with several assets and a single state variable, the classic turnpike demonstrates that optimal portfolios converge under the physical probability. In the same setting, the explicit turnpike identifies the limit of finite-horizon optimal portfolios as a long-run myopic portfolio defined in terms of the solution of an ergodic HJB equation.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.springer.com/mathematics/quantitative+f... |
| Additional Information: | © 2013 Springer-Verlag Berlin Heidelberg |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HA Statistics H Social Sciences > HG Finance |
| Date Deposited: | 02 Dec 2013 10:50 |
| Last Modified: | 01 Oct 2024 03:40 |
| Funders: | Suntory and Toyota International Centres for Economics and Related Disciplines |
| URI: | http://eprints.lse.ac.uk/id/eprint/54746 |
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