摘要翻译：
在一个金融市场模型中，我们考虑了最小化超越某一财富水平的预期时间问题的变化。对于指数Levy市场，我们证明了上述问题的增长最优投资组合的渐近最优性，并得到了任意财富水平下价值函数的紧界。在Ito市场中，我们使用市场时间的概念，这是一个根据潜在市场增长运行的时钟。我们证明了增长最优投资组合对于达到任何财富水平的预期市场时间最小的最优性。这揭示了市场时间的一般定义，从投资者的角度来看是有用的。我们利用最后一个定义在一个一般的半鞅环境中推广了前面的结果。
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英文标题：
《Minimizing the expected market time to reach a certain wealth level》
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作者：
Constantinos Kardaras, Eckhard Platen
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the above problem and obtain tight bounds for the value function for any wealth level. In an Ito market, we employ the concept of market time, which is a clock that runs according to the underlying market growth. We show the optimality of the growth-optimal portfolio for minimizing the expected market time to reach any wealth level. This reveals a general definition of market time which can be useful from an investor's point of view. We utilize this last definition to extend the previous results in a general semimartingale setting.
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PDF链接：
https://arxiv.org/pdf/0904.1903