Pré-Publication, Document De Travail Année : 2014

Long time asymptotics for optimal investment

Résumé

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 asymptotic behavior of these criteria formulated as large deviations control pro\-blems, that we solve by duality method leading to ergodic risk-sensitive portfolio optimization problems. Special emphasis is placed on linear factor models where explicit solutions are obtained.

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hal-01058657 , version 1 (27-08-2014)

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Huyen Pham. Long time asymptotics for optimal investment. 2014. ⟨hal-01058657⟩
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