Abstract
Long horizon optimal investment problems are studied in a factor model with matrix valued state variables. Explicit parameter restrictions are obtained under which, for an isoelastic investor, the finite horizon value function and optimal strategy converge to their long-run counterparts as the investment horizon approaches infinity. Additionally, portfolio turnpikes are obtained in which finite horizon optimal strategies for general utility functions converge to the long-run optimal strategy for isoelastic utility. By using results on large time behavior of semilinear partial differential equations, our analysis extends, to a nonaffine setting, affine models where the Wishart process drives investment opportunities.
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