Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
Portfolio optimization, studied by Fouque and Hu in 2016. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Then, we show that this zeroth order suboptimal strategy is asymptotically optimal in a specific family of admissible trading strategies.”
StrategyPortfolio optimization
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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