Optimal long term investment model with memory

Details Optimal long term investment model with memory Optimal long term investment model with memory

2005-06-30

arxiv.org/abs/math/0506621v3

Mathematics

Probability

25 pages, 3 figures. To appear in Applied Mathematics and Optimization

Scientific paper

We consider a financial market model driven by an R^n-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 problem; (ii) the maximization of growth rate of expected utility of wealth over the infinite horizon; (iii) the maximization of the large deviation probability that the wealth grows at a higher rate than a given benchmark. The estimation of paremeters is also considered.

Affiliated with

Also associated with

No associations

Rating

Optimal long term investment model with memory does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal long term investment model with memory, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal long term investment model with memory will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-235217