Minimizing the expected market time to reach a certain wealth level

Citation:
2010
Issue Date:
2010-12-01
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail0904.1903v1.pdfAccepted Manuscript version224.54 kB
Adobe PDF
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Ĺevy 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 investor's point of view. We utilize this last definition to extend the previous results in a general semimartingale setting. © 2010 Society for Industrial and Applied Mathematics.
Please use this identifier to cite or link to this item: