英文标题：
《Long time asymptotics for optimal investment》
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作者：
Huyen Pham (LPMA, CREST)
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最新提交年份：
2014
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英文摘要：
This survey reviews portfolio selection problem for long-term horizon. We consider two objectives: (i) maximize the probability for outperforming a target growth rate of wealth process (ii) minimize the probability of falling below a target growth rate. We study the asymptotic behavior of these criteria formulated as large deviations control pro\\-blems, that we solve by duality method leading to ergodic risk-sensitive portfolio optimization problems. Special emphasis is placed on linear factor models where explicit solutions are obtained.
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中文摘要：
本调查回顾了长期投资组合选择问题。我们考虑两个目标：（i）最大化超越财富过程目标增长率的概率（ii）最小化低于目标增长率的概率。我们研究了这些标准作为大偏差控制问题的渐近行为，我们通过对偶方法解决了遍历风险敏感的投资组合优化问题。特别强调线性因子模型，在线性因子模型中可以获得显式解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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