Optimal Long-Term Investment Model with Memory
نویسندگان
چکیده
منابع مشابه
Optimal Long Term Investment Model with Memory
We consider a financial market model driven by an Rn-valued Gaussian process with stationary increments which is different from Brownian motion. This driving noise process consists of n independent components, and each component has memory described by two parameters. For this market model, we explicitly solve optimal investment problems. These include (i) Merton’s portfolio optimization proble...
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ژورنال
عنوان ژورنال: Applied Mathematics and Optimization
سال: 2006
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-006-0867-0