Long time asymptotics for optimal investment

Preprint OPEN
Huyen Pham (2014)
  • Publisher: HAL CCSD
  • Subject: large deviations | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | Quantitative Finance - Portfolio Management | ergodic HJB equation | Mathematics - Probability | ergodic HJB equation,Long-term investment,large deviations,risk-sensitive control,ergodic HJB equation. | risk-sensitive control | MSC: 60F10, 91G10, 93E20. | Long-term investment | ergodic HJB equation.

This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asy... View more
Share - Bookmark