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1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires 2 CREST - Centre de Recherche en Économie et Statistique

Abstract : 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.

Keywords : ergodic HJB equation Long-term investment large deviations risk-sensitive control ergodic HJB equation.

Author: Huyen Pham -

Source: https://hal.archives-ouvertes.fr/


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