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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

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Invariance principle of regime-switching diffusions

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China's savings and current account balance : a demographic transition perspective

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Corporate philanthropic giving and nature of stock market reaction : evidence from China

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Why risk attitude differs between macro and micro level? : a decoherence perspective

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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and Stochastics 17 (2013) 4, pp. 839-870

We study the portfolio optimization problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be formulated as a composite pure hypothesis...

Persistent link: https://www.econbiz.de/10010698275