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Optimal Asset Allocation with Asymptotic Criteria

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  • Vladislav Kargin

Abstract

Assume (1) asset returns follow a stochastic multi-factor process with time-varying conditional expectations; (2) investments are linear functions of factors. This paper calculates asymptotic joint moments of the logarithm of investor's wealth and the factors. These formulas enable fast computation of a wide range of investment criteria. The results are illustrated by a numerical example that shows that the optimal portfolio rules are sensitive to the specification of the investment criterion.

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File URL: http://arxiv.org/pdf/math/0304151
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number math/0304151.

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Date of creation: Apr 2003
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Publication status: Published in International Journal of Theoretical and Applied Finance, 2003, 6, 593-604
Handle: RePEc:arx:papers:math/0304151

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Web page: http://arxiv.org/

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