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McKean-Vlasov Limit in Portfolio Optimization

DSpace at IIT Bombay

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Field Value
 
Title McKean-Vlasov Limit in Portfolio Optimization
 
Creator BORKAR, VS
KUMAR, KS
 
Subject mckean-vlasov equation
nonlinear parabolic equation
portfolio optimization
 
Description This article considers a sector-wise allocation in a portfolio consisting of a very large number of stocks. Their interdependence is captured by the dependence of the drift coefficient of each stock on an averaged effect of the sectors. This leads to a decoupled dynamics in the limit of large numbers, akin to the omean fieldo limit leading to the McKean-Vlasov equation in statistical physics. This gives a more compact description using a time-varying drift characterized in terms of a measure-valued process that satisfies a nonlinear parabolic equation. The classical portfolio optimization problem is then addressed in this framework.
 
Publisher TAYLOR & FRANCIS INC
 
Date 2011-08-30T17:49:24Z
2011-12-26T12:59:05Z
2011-12-27T05:50:01Z
2011-08-30T17:49:24Z
2011-12-26T12:59:05Z
2011-12-27T05:50:01Z
2010
 
Type Article
 
Identifier STOCHASTIC ANALYSIS AND APPLICATIONS, 28(5), 884-906
0736-2994
http://dx.doi.org/10.1080/07362994.2010.482836
http://dspace.library.iitb.ac.in/xmlui/handle/10054/12412
http://hdl.handle.net/10054/12412
 
Language en