Special Session 118: Recent advances in mathematical finance

Ergodic optimization

Alexandre V Antonov
ADIA
United Arab Emirates
Co-Author(s):    Ahmed AlQubaisi
Abstract:
We propose a special form of optimization with a stationary utility function and corresponding weights. We considerer ergodic asset returns process and derive an analytical expression for optimal weights for certain natural extensions of the Markowitz formulation. As immediate applications we apply the proposed technique to sovereign fund needs.