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.
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Original Russian Text © E.S. Palamarchuk, 2015, published in Upravlenie Bol’shimi Sistemami, 2015, No. 56, pp. 123–142.
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Palamarchuk, E.S. Stochastic optimality in the portfolio tracking problem involving investor’s temporal preferences. Autom Remote Control 78, 1523–1536 (2017). https://doi.org/10.1134/S0005117917080124
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DOI: https://doi.org/10.1134/S0005117917080124