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UBS, 2015, Issue 56, Pages 123–142 (Mi ubs828)  

Control in Social and Economic Systems

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

E. S. Palamarchuk

Central Economics and Mathematics Institute of RAS

Abstract: 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.

Keywords: portfolio, stochastic control, reference path, discounting, infinite-time horizon

Full text: PDF file (253 kB)
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English version:
Automation and Remote Control, 2017, 78:8, 1523–1536

UDC: 517.977.5 + 519.856
BBK: 32.81

Citation: E. S. Palamarchuk, “Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences”, UBS, 56 (2015), 123–142; Autom. Remote Control, 78:8 (2017), 1523–1536

Citation in format AMSBIB
\Bibitem{Pal15}
\by E.~S.~Palamarchuk
\paper Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences
\jour UBS
\yr 2015
\vol 56
\pages 123--142
\mathnet{http://mi.mathnet.ru/ubs828}
\elib{http://elibrary.ru/item.asp?id=25871396}
\transl
\jour Autom. Remote Control
\yr 2017
\vol 78
\issue 8
\pages 1523--1536
\crossref{https://doi.org/10.1134/S0005117917080124}


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