- Working Paper
This survey reviews portfolio choice in settings where investment opportunities are stochastic due to, e.g., stochastic volatility or return predictability. It is explained how to heuristically compute candidate optimal portfolios using tools from stochastic control, and how to rigorously verify their optimality by means of convex duality. Special emphasis is placed on long-horizon asymptotics, that lead to particularly tractable results Show more
SubjectPortfolio choice; Stochastic opportunity sets; Stochastic optimal control; Convex duality; Long-run asymptotics
Organisational unit03899 - Muhle-Karbe, Johannes (ehemalig)
NotesSubmitted on 7 November 2013.
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