Abstract, classic, and explicit turnpikes

作者：Guasoni Paolo; Kardaras Constantinos; Robertson Scott; Xing Hao^*

来源：Finance and Stochastics, 2014, 18(1): 75-114.

DOI：10.1007/s00780-013-0216-5

• Portfolio choice
• Incomplete markets
• Long-run
• Utility functions
• Turnpikes

Portfolio turnpikes state that as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payoffs and portfolios converge under their myopic probabilities. In diffusion models with several assets and a single state variable, the classic turnpike demonstrates that optimal portfolios converge under the physical probability. In the same setting, the explicit turnpike identifies the limit of finite-horizon optimal portfolios as a long-run myopic portfolio defined in terms of the solution of an ergodic HJB equation.

• 出版日期2014-1