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ASYMPTOTIC OPTIMAL STRATEGY FOR PORTFOLIO OPTIMIZATION IN A SLOWLY VARYING STOCHASTIC ENVIRONMENT.
- Source :
- SIAM Journal on Control & Optimization; 2017, Vol. 55 Issue 3, p1990-2023, 34p
- Publication Year :
- 2017
-
Abstract
- In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of the underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of admissible controls under this problem setup. Specifically, we establish a rigorous first order approximation of the value function associated to a fixed zeroth order suboptimal trading strategy, which is derived heuristically in [J.-P. Fouque, R. Sircar, and T. Zariphopoulou, Math. Finance, 2016]. Then, we show that this zeroth order suboptimal strategy is asymptotically optimal in a specific family of admissible trading strategies. Finally, we show that our assumptions are satisfied by a particular fully solvable model. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03630129
- Volume :
- 55
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- SIAM Journal on Control & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 123922152
- Full Text :
- https://doi.org/10.1137/16M1066762