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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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  • Vladislav Kargin, 2003. "Optimal Asset Allocation with Asymptotic Criteria," Papers math/0304151, arXiv.org.
  • Handle: RePEc:arx:papers:math/0304151
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