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August 2012 Robust maximization of asymptotic growth
Constantinos Kardaras, Scott Robertson
Ann. Appl. Probab. 22(4): 1576-1610 (August 2012). DOI: 10.1214/11-AAP802

Abstract

This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential operator, which depends on the covariance structure of the underlying process used for investing. The robust growth-optimal strategy can also be seen as a limit, as the terminal date goes to infinity, of optimal arbitrages in the terminology of Fernholz and Karatzas [Ann. Appl. Probab. 20 (2010) 1179–1204].

Citation

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Constantinos Kardaras. Scott Robertson. "Robust maximization of asymptotic growth." Ann. Appl. Probab. 22 (4) 1576 - 1610, August 2012. https://doi.org/10.1214/11-AAP802

Information

Published: August 2012
First available in Project Euclid: 10 August 2012

zbMATH: 1262.60040
MathSciNet: MR2985170
Digital Object Identifier: 10.1214/11-AAP802

Subjects:
Primary: 60G44, 60G46, 60H05

Rights: Copyright © 2012 Institute of Mathematical Statistics

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Vol.22 • No. 4 • August 2012
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