Modelfree portfolio optimization in the long run

9 March 2017
16:00
to
17:30
Christa Cuchiero
Abstract

Cover’s celebrated theorem states that the long run yield of a properly chosen “universal” portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. We formulate an abstract principle behind such a universality phenomenon valid for general optimization problems in the long run. This allows to obtain new results on modelfree portfolio optimization, in particular in continuous time, involving larger classes of investment strategies. These modelfree results are complemented by a comparison with the log-optimal numeraire portfolio when fixing a stochastic model for the asset prices. The talk is based on joint work with Walter Schachermayer and Leonard Wong.

  • Mathematical and Computational Finance Seminar