Download This PaperOn Models for Portfolio Selection with Short-Term Forecasting
18 Pages Posted: 3 Sep 2012 Last revised: 7 Jan 2013
Date Written: January 7, 2013
Abstract
We discuss the problems of strategy selection in the framework of mathematical finance, stochastic control, and risk management in finance and economics. A problem setting that takes in to account a possibility of short term forecasting for market parameters is suggested. In this setting, optimal portfolio selection problem is reduced to a stochastic control problem with a delay in the plant equation. The boundaries for the use of optimal myopic strategies are discussed.
Keywords: stochastic market, portfolio selection, forecasting, myopic strategies
JEL Classification: C52, C53, G11
Suggested Citation: Suggested Citation
Dokuchaev, Nikolai, On Models for Portfolio Selection with Short-Term Forecasting (January 7, 2013). Available at SSRN: https://ssrn.com/abstract=2140669 or http://dx.doi.org/10.2139/ssrn.2140669
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