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Optimal Asset Allocation with Asymptotic Criteria

Author

Listed:
  • Slava Karguine

    (Cornerstone Research, 599 Lexington Avenue, New York, NY 10022, USA)

Abstract

With the assumptions that asset returns follow a stochastic multi-factor process with time-varying conditional expectations and investments are linear functions of factors, we calculate 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.

Suggested Citation

  • Slava Karguine, 2003. "Optimal Asset Allocation with Asymptotic Criteria," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 593-604.
    • Handle: RePEc:wsi:ijtafx:v:06:y:2003:i:06:n:s0219024903002080
    DOI: 10.1142/S0219024903002080
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    References listed on IDEAS

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    1. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
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