On Long Term Investment Optimality

• Published in: Applied mathematics & optimization Vol. 80; no. 1; pp. 1 - 62
• Main Author: Puhalskii, Anatolii A.
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.08.2019; Springer Nature B.V
• Subjects: Benchmarks; Calculus of Variations and Optimal Control; Optimization; Control; Criteria; Decay rate; Differential equations; Dynamic programming; Economic models; Investment; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Mathematics and Statistics; Numerical and Computational Physics; Optimal control; Optimization; Risk; Simulation; Systems Theory; Theoretical

We study the problem of optimal long term investment with a view to beat a benchmark for a diffusion model of asset prices. Two kinds of objectives are considered. One criterion concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate of the probability tha...