Optimal long term investment model with memory
| dc.creator | Inoue, Akihiko | |
| dc.creator | Nakano, Yumiharu | |
| dc.date | 2005-06-30 | |
| dc.date | 2006-05-05 | |
| dc.date.accessioned | 2026-07-07T12:07:16Z | |
| dc.date.available | 2026-07-07T12:07:16Z | |
| dc.description | 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. | |
| dc.description | 25 pages, 3 figures. To appear in Applied Mathematics and Optimization | |
| dc.identifier | https://arxiv.org/abs/math/0506621 | |
| dc.identifier | http://arxiv.org/abs/math/0506621 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208909 | |
| dc.subject | Probability | |
| dc.subject | Portfolio Management | |
| dc.subject | MSC-class: 91B28, 60G10 (Primary) 62P05, 93E20 (Secondary) | |
| dc.title | Optimal long term investment model with memory | |
| dc.type | text |