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Regular version of the site

Article

Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences

Automation and Remote Control. 2017. Vol. 78. No. 8. P. 1523-1536.
We consider an optimal portfolio selection problem to track a riskless reference portfolio. Portfolio management strategies are compared taking into account the investor’s temporal preferences. We investigate stochastic optimality of the strategy that minimizes the expected long-run cost, deriving an asymptotical upper (almost sure) estimate for the difference between the values of the objective functional corresponding to the optimal strategy and for any admissible control.