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• W2588258648 abstract "The paper studies problem of optimal portfolio selection. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. This implies dimension reduction for the optimal portfolio selection problem: all rational investors may achieve optimality using the same mutual funds plus a saving account. This result is obtained under mild restrictions for the utility functions without any assumptions on regularity of the value function. The proof is based on the method of dynamic programming applied indirectly to some convenient approximations of the original problem that ensure certain regularity of the value functions. To overcome technical difficulties, we use special time dependent and random constraints for admissible strategies such that the corresponding HJB (Hamilton–Jacobi–Bellman) equation admits “almost explicit” solutions generating near optimal admissible strategies featuring sufficient regularity and integrability." @default.
• W2588258648 created "2017-02-24" @default.
• W2588258648 creator A5031418059 @default.
• W2588258648 date "2018-01-01" @default.
• W2588258648 modified "2023-09-27" @default.
• W2588258648 title "On the structure of multifactor optimal portfolio strategies" @default.
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• W2588258648 doi "https://doi.org/10.1051/cocv/2017013" @default.
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