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Optimal portfolio selection and compression in an incomplete market
| Content Provider | Semantic Scholar |
|---|---|
| Author | Dokuchaev, Nikolai Haussmann, Ulrich G. |
| Copyright Year | 2001 |
| Abstract | We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modelled as diffusions and the market is incomplete. We find an explicit solution for the case of limited diversification of the portfolio, i.e. for the portfolio compression problem. By this we mean that any admissible strategy may include no more than m different stocks concurrently, where m may be less than the total number n of available stocks. |
| Starting Page | 336 |
| Ending Page | 345 |
| Page Count | 10 |
| File Format | PDF HTM / HTML |
| DOI | 10.1088/1469-7688/1/3/305 |
| Volume Number | 1 |
| Alternate Webpage(s) | http://arxiv.org/pdf/math/0207260v1.pdf |
| Alternate Webpage(s) | https://arxiv.org/pdf/math/0207260v1.pdf |
| Alternate Webpage(s) | https://doi.org/10.1088/1469-7688%2F1%2F3%2F305 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |