Resolution of Degeneracy in Merton's Portfolio Problem

DOI10.1137/16M1065021zbMath1406.91422MaRDI QIDQ2953941

Hoi Ying Wong, Chi Seng Pun

Publication date: 11 January 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

sparsityDantzig selectorexpected utility maximizationMerton's problemconstrained \(\ell_1\)-minimizationhigh-dimensional portfolio

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16) Portfolio theory (91G10)

Related Items (8)

Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios ⋮ A linear programming model for selection of sparse high-dimensional multiperiod portfolios ⋮ A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions ⋮ An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns ⋮ Simulation-based Value-at-Risk for nonlinear portfolios ⋮ A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection ⋮ A cost-effective approach to portfolio construction with range-based risk measures

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