The structure of optimal portfolio strategies for continuous time markets

Details The structure of optimal portfolio strategies for continuous time markets The structure of optimal portfolio strategies for continuous time markets

2011-05-08

arxiv.org/abs/1105.1488v1

Economy

Quantitative Finance

Portfolio Management

Scientific paper

The paper studies problem of continuous time optimal portfolio selection for a diffusion model of incomplete market. It is shown that, under some mild conditions, the suboptimal strategies for investors with different performance criterions can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of available risky stocks. In other words, a relaxed version of Mutual Fund Theorem is obtained.

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