Optimal portfolio selection and compression in an incomplete market
AbstractWe investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modelled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio, i.e.�for the portfolio compression problem. By this we mean that any admissible strategy may include no more than m different stocks concurrently, where m may be less than the total number n of available stocks.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Quantitative Finance.
Volume (Year): 1 (2001)
Issue (Month): 3 ()
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Web page: http://www.tandfonline.com/RQUF20
Other versions of this item:
- Nikolai Dokuchaev & Ulrich Haussmann, 2002. "Optimal portfolio selection and compression in an incomplete market," Papers math/0207260, arXiv.org.
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- Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org.
- Nikolai Dokuchaev, 2002. "Maximin setting for investment problems and fixed income management with observable but non-predictable parameters," Papers math/0207259, arXiv.org.
- Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
- Nikolai Dokuchaev, 2009. "Mutual Fund Theorem for continuous time markets with random coefficients," Papers 0911.3194, arXiv.org.
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