On the structure of multifactor optimal portfolio strategies
The paper studies problem of optimal portfolio selection. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of availabl...
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| Format: | Journal Article |
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EDP Sciences
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/54223 |