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- W4310630714 abstract "This paper investigates dynamic and static fund separations and their stability for long-term optimal investments under three model classes. An investor maximizes the expected utility with constant relative risk aversion under an incomplete market consisting of a safe asset, several risky assets, and a single state variable. The state variables in two of the model classes follow a 3/2 process and an inverse Bessel process, respectively. The other market model has the partially observed state variable modeled as an Ornstein-Uhlenbeck state process. We show that the dynamic optimal portfolio of this utility maximization consists of m+3 portfolios: the safe asset, the myopic portfolio, the m time-independent portfolios, and the intertemporal portfolio. Over time, the intertemporal portfolio eventually vanishes, leading the dynamic portfolio to converge to m+2 portfolios, referred to as the static portfolio. We also prove that the convergence is stable under model parameter perturbations. In addition, sensitivities of the intertemporal portfolio with respect to small parameters perturbations also vanish in the long run. The convergence rate for the intertemporal portfolio and its sensitivities are computed explicitly for the presented models." @default.
- W4310630714 created "2022-12-13" @default.
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- W4310630714 date "2022-12-01" @default.
- W4310630714 modified "2023-10-16" @default.
- W4310630714 title "Dynamic and static fund separations and their stability for long-term optimal investments" @default.
- W4310630714 doi "https://doi.org/10.48550/arxiv.2212.00391" @default.
- W4310630714 hasPublicationYear "2022" @default.
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