英文标题：
《Near-Optimal Dynamic Asset Allocation in Financial Markets with Trading
Constraints》
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作者：
Thijs Kamma and Antoon Pelsser
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最新提交年份：
2019
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英文摘要：
We develop a dual-control method for approximating investment strategies in incomplete environments that emerge from the presence of trading constraints. Convex duality enables the approximate technology to generate lower and upper bounds on the optimal value function. The mechanism rests on closed-form expressions pertaining to the portfolio composition, from which we are able to derive the near-optimal asset allocation explicitly. In a real financial market, we illustrate the accuracy of our approximate method on a dual CRRA utility function that characterises the preferences of a finite-horizon investor. Negligible duality gaps and insignificant annual welfare losses substantiate accuracy of the technique.
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中文摘要：
我们开发了一种双重控制方法，用于在存在交易约束的不完全环境中近似投资策略。凸对偶使近似技术能够生成最优值函数的上下界。该机制基于与投资组合构成相关的封闭式表达式，我们可以从中明确得出接近最优的资产配置。在真实的金融市场中，我们说明了我们对双重CRRA效用函数的近似方法的准确性，该函数描述了有限期限投资者的偏好。微不足道的二元差距和微不足道的年度福利损失证实了该技术的准确性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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