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The structure of optimal portfolio strategies for continuous time markets

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  • Nikolai Dokuchaev

Abstract

The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. In other words, a dimension reduction is achieved via a relaxed version of the Mutual Fund Theorem.

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  • Nikolai Dokuchaev, 2011. "The structure of optimal portfolio strategies for continuous time markets," Papers 1105.1488, arXiv.org, revised Apr 2014.
    • Handle: RePEc:arx:papers:1105.1488
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    References listed on IDEAS

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    1. Fama, Eugene F., 1996. "Multifactor Portfolio Efficiency and Multifactor Asset Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(4), pages 441-465, December.
    2. David Feldman, 2007. "Incomplete information equilibria: Separation theorems and other myths," Annals of Operations Research, Springer, vol. 151(1), pages 119-149, April.
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