2009 Probability Seminar - 12

We introduce and discuss some new stochastic models of optimal portfolio selection with reduced impact of forecast errors. In particular, we found some new examples of optimal myopic strategies, including some discrete time models with serial correlations. In addition, we found some new cases when the strategies that don't leave the efficient frontier even if there is an error in the forecast. It may happen for non-myopic strategies if the required information about the future is limited.