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Abstract
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Portfolio turnpikes state that, when the investment horizon is distant, optimal portfolios of generic utilities approach optimal portfolios of power or logarithmic utilities. This property has been studied since 1968 and it has been proven in different market settings, where either the market is assumed to be complete or the return of assets has independent increments. In this talk, we will discuss whether this property holds in incomplete markets with stochastic investment opportunities, where the portfolio choice problem is least tractable. We will present three kinds of turnpike theorems: the abstract turnpike where final payoffs and portfolios converge under the myopic probabilities; the diffusion turnpike where convergence is shown under the physical measure for a class of diffusion models; and the explicit turnpike where optimal portfolios for a generic utility converge to the long-run optimal portfolio for power utility.
This is a joint work with Paolo Guasoni, Kostas Kadaras, and Scott Robertson.
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