Robust asymptotic growth in stochastic portfolio theory under long‐only constraints

  title={Robust asymptotic growth in stochastic portfolio theory under long‐only constraints},
  author={David Itkin and Martin Larsson},
  journal={Mathematical Finance},
  pages={114 - 171}
We consider the problem of maximizing the asymptotic growth rate of an investor under drift uncertainty in the setting of stochastic portfolio theory (SPT). As in the work of Kardaras and Robertson we take as inputs (i) aMarkovian volatility matrix c(x)$c(x)$ and (ii) an invariant density p(x)$p(x)$ for the market weights, but we additionally impose long‐only constraints on the investor. Our principal contribution is proving a uniqueness and existence result for the class of concave… 

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