Minimizing the expected market time to reach a certain wealth level

Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, 2008
Issue Date:
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail0904.1903v1.pdfAccepted Manuscript version224.54 kB
Adobe PDF
Research Paper Number: 230 Abstract: In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the above problem and obtain tight bounds for the value function for any wealth level. In an Ito market, we employ the concept of market time, which is a clock that runs according to the underlying market growth. We show the optimality of the growth-optimal portfolio for minimizing the expected market time to reach any wealth level. This reveals a general definition of market time which can be useful from an investorâs point of view. We utilize this last definition to extend the previous results in a general semimartingale setting.
Please use this identifier to cite or link to this item: