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: 2015
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: 56
: .. / . 56. .: , 2015. .123-142.
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(.): portfolio, stochastic control, reference path, discounting, infinite-time horizon
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(.): We consider an optimal portfolio problem to approximate a risk free reference portfolio. Portfolio management strategies are compared accounting for investors temporal preferences. We investigate stochastic optimality of the strategy, which minimizes the expected long-run cost, providing an asymptotically upper estimate (almost surely) of the difference between values of the objective function for the optimal strategy and for any admissible strategy.
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: 2923, : 1013, : 2.