期刊
STOCHASTIC ANALYSIS AND APPLICATIONS
卷 28, 期 5, 页码 884-906出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/07362994.2010.482836
关键词
McKean-Vlasov equation; Nonlinear parabolic equation; Portfolio optimization
资金
- Department of Science and Technology, India
This article considers a sector-wise allocation in a portfolio consisting of a very large number of stocks. Their interdependence is captured by the dependence of the drift coefficient of each stock on an averaged effect of the sectors. This leads to a decoupled dynamics in the limit of large numbers, akin to the omean fieldo limit leading to the McKean-Vlasov equation in statistical physics. This gives a more compact description using a time-varying drift characterized in terms of a measure-valued process that satisfies a nonlinear parabolic equation. The classical portfolio optimization problem is then addressed in this framework.
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