摘要翻译：
投资组合收费标准指出，随着投资期限的增加，一般公用事业的最优投资组合收敛于等弹性公用事业的最优投资组合。本文证明了三种收费公路。在一般的半鞅情形下，抽象的收费公路说明最优最终收益和投资组合在其短视概率下收敛。在具有多个资产和单一状态变量的扩散模型中，经典收费公路证明了最优投资组合在物理概率下收敛；同时，显式收费公路将有限时域最优投资组合的极限识别为长期短视投资组合，定义为遍历HJB方程的解。
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英文标题：
《Abstract, Classic, and Explicit Turnpikes》
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作者：
Paolo Guasoni, Constantinos Kardaras, Scott Robertson, Hao Xing
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最新提交年份：
2012
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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：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payoffs and portfolios converge under their myopic probabilities. In diffusion models with several assets and a single state variable, the classic turnpike demonstrates that optimal portfolios converge under the physical probability; meanwhile the explicit turnpike identifies the limit of finite-horizon optimal portfolios as a long-run myopic portfolio defined in terms of the solution of an ergodic HJB equation.
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PDF链接：
https://arxiv.org/pdf/1101.0945