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Upravlenie Bol'shimi Sistemami, 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
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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.
English version:
Automation and Remote Control, 2017, Volume 78, Issue 8, Pages 1523–1536
DOI: https://doi.org/10.1134/S0005117917080124
Bibliographic databases:
Document Type: Article
UDC: 517.977.5 + 519.856
BBC: 32.81
Language: Russian
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{https://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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