Turnpike behavior of long-term investments View Full Text


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Article Info

DATE

1999-01

AUTHORS

Chi-fu Huang, Thaleia Zariphopoulou

ABSTRACT

We study the behavior of the optimal portfolio policy of a long-run investor in markets with stationary investment opportunity sets. We provide conditions on the utility function, for large wealth levels, which are sufficient for the optimal portfolio policy to approximate, as the trading horizon becomes very long, the policy of investing a constant proportion of wealth in the various assets. The analysis is carried out by employing the associated HJB equation and recent advances in the area of viscosity solutions. More... »

PAGES

15-34

Journal

TITLE

Finance and Stochastics

ISSUE

1

VOLUME

3

Author Affiliations

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s007800050050

DOI

http://dx.doi.org/10.1007/s007800050050

DIMENSIONS

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