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 modeled 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 an admissible strategies 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 InfoPaper provided by arXiv.org in its series Papers with number math/0207260.
Date of creation: Jul 2002
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Publication status: Published in Quantitative Finance 1(2001), iss. 3, 336-345
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Web page: http://arxiv.org/
Other versions of this item:
- N. Dokuchaev & U. Haussmann, 2001. "Optimal portfolio selection and compression in an incomplete market," Quantitative Finance, Taylor & Francis Journals, vol. 1(3), pages 336-345.
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