Long-Term Optimal Investment in Matrix Valued Factor Models

Abstract

Abstract. Long term optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approaches infinity. This convergence… (More)
DOI: 10.1137/15M1030625

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