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- W3122518937 abstract "In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of admissible controls under this problem setup. Specifically, we first establish a rigorous first order approximation of the value function associated to a fixed zeroth order suboptimal trading strategy, which is given by the heuristic argument in [J.-P. Fouque, R. Sircar and T. Zariphopoulou, {it Mathematical Finance}, 2016]. Then, we show that this zeroth order suboptimal strategy is asymptotically optimal in a specific family of admissible trading strategies. Finally, we show that our assumptions are satisfied by a particular fully solvable model." @default.
- W3122518937 created "2021-02-01" @default.
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- W3122518937 date "2016-11-01" @default.
- W3122518937 modified "2023-09-27" @default.
- W3122518937 title "Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment" @default.
- W3122518937 hasPublicationYear "2016" @default.
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