Long term optimal investment in matrix valued factor models

Robertson, Scott and Xing, Hao (2017) Long term optimal investment in matrix valued factor models. SIAM Journal on Financial Mathematics, 8 (1). pp. 400-434. ISSN 1945-497X

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Abstract

Long horizon optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approaches infinity. Additionally, portfolio turnpikes are obtained in which finite horizon optimal strategies for general utility functions converge to the long-run optimal strategy for isoelastic utility. By using results on large time behavior of semi-linear partial differential equations, our analysis extends, to a non-affine setting, affine models where the Wishart process drives investment opportunities.

Item Type:	Article
Official URL:	http://epubs.siam.org/journal/sjfmbj
Additional Information:	© 2017 Society for Industrial and Applied Mathematics
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics Q Science > QA Mathematics
Date Deposited:	17 Feb 2017 13:50
Last Modified:	14 Sep 2024 07:23
Projects:	DMS-1312419
Funders:	National Science Foundation
URI:	http://eprints.lse.ac.uk/id/eprint/69520

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