Remark on optimal investment in a market with memory
We consider a financial market model driven by a Gaussian semimartingale with stationary increments. This driving noise process consists of n independent components and each component has memory described by two parameters. We extend results of the authors on optimal investment in this market.
Gespeichert in:
| Datum: | 2007 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2007
|
| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4472 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | Remark on optimal investment in a market with memory / A. Inoue, Y. Nakano // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 66-76. — Бібліогр.: 18 назв.— англ. |