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Optimal Long-Term Investment Model with Memory
| Title: | Optimal Long-Term Investment Model with Memory |
| Authors: | Inoue, Akihiko Browse this author | | Nakano, Yumiharu Browse this author |
| Issue Date: | 2007 |
| Publisher: | Springer |
| Journal Title: | Applied Mathematics and Optimization |
| Volume: | 55 |
| Issue: | 1 |
| Start Page: | 93 |
| End Page: | 122 |
| Publisher DOI: | 10.1007/s00245-006-0867-0 |
| Abstract: | 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 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 parameters is also considered. |
| Rights: | The original publication is available at www.springerlink.com |
| Type: | article (author version) |
| URI: | http://hdl.handle.net/2115/18884 |
| Appears in Collections: | 理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)
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Submitter: 井上 昭彦
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