درباره استراتژی های سرمایه گذاری پویا

This paper presents a new approach for analyzing dynamic investment strategies. Previous studies have obtained explicit results by restricting utility functions to a few specific forms; not surprisingly, the resultant dynamic strategies have exhibited a very limited range of behavior. In contrast, we examine what might be called the inverse problem: given any specific dynamic strategy, can we characterize the results of following it through time? More precisely, can we determine whether it is self-financing, yields path-independent returns, and is consistent with optimal behavior for some expected utility maximizing investor? We provide necessary and sufficient conditions for a dynamic strategy to satisfy each of these properties.