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On The Stability of Continuous-Time Portfolio Problems with Stochastic Opportunity Set

On The Stability of Continuous-Time Portfolio Problems with Stochastic Opportunity Set PDF Author: Holger Kraft
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Languages : en
Pages : 0

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Book Description
In this paper we present some counter-examples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic opportunity set. Cases covered are problems with stochastic interest rates, stochastic volatility, and/or stochastic market price of risk. To classify the problems occurring with stochastic market coefficients we further introduce two notions of stability of portfolio problems.