Portfolio optimization in a short time horizon

Rohini Kumar
Wayne State University
Mathematics

We look at the problem of portfolio optimization in a short time horizon in an incomplete market. Closed-form approximating formulas to the optimal portfolio are obtained using asymptotic techniques. The results are obtained by constructing sub- and super solutions to the "marginal HJB equation" and applying a comparison principle argument.
This is joint work with my student Hussein Nasralah.


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