ROBUST MAXIMIZATION OF ASYMPTOTIC GROWTH

• 成果类型: Article
• 署名作者: Kardaras, Constantinos; Robertson, Scott
• 署名单位: Boston University; Carnegie Mellon University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/11-AAP802
• 发表日期: 2012
• 页码: 1576-1610
• 关键词: large time; portfolio; arbitrage; BEHAVIOR; utility; kernel

摘要

This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential operator, which depends on the covariance structure of the underlying process used for investing. The robust growth-optimal strategy can also be seen as a limit, as the terminal date goes to infinity, of optimal arbitrages in the terminology of Fernholz and Karatzas [Ann. Appl. Probab. 20 (2010) 1179-1204].