CEU Electronic Theses and Dissertations, 2022
| Author | Nagy, Lóránt |
|---|---|
| Title | On asymptotically optimal investments |
| Summary | The work considers long term investments in various settings. We display how restricting our attention on asset price models with stationary returns limits the possible growth rate of asymptotically optimal portfolios. Through an example, we prognosticate the intricate connection between optimality and the potential with which prices retain information from the past, and continuing this line of thought, we present a discussion on long memory and negative memory (anti-persistence) respectively. We show how these two regimes cover the whole spectrum of attainable optimal growth rates, when returns are stationary. We also present a result on long term portfolio choice in a trading environment where the investor is heavily risk-averse and prices show mean-reversion. |
| Supervisor | Rásonyi, Miklós |
| Department | Mathematics PhD |
| Full text | https://www.etd.ceu.edu/2022/nagy_lorant.pdf |
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