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 |
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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: | 01 Aug 2024 16:03 |
Projects: | DMS-1312419 |
Funders: | National Science Foundation |
URI: | http://eprints.lse.ac.uk/id/eprint/69520 |
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