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Article

Оптимальное управление в задаче портфельного трекинга с учетом временных предпочтений инвестора

We consider a problem of optimal portfolio selection in order to track a riskless reference portfolio. The performance of controls is evaluated according to the investor’s time-preference. We investigate the stochastic optimality of the control which minimizes the expected long-run cost, providing an asymptotically upper estimate (almost surely) on difference between objective functionals corresponding to the optimal control and any admissible control strategy.