2022-08-16T18:39:45Zhttps://eprints.lib.hokudai.ac.jp/dspace-oai/requestoai:eprints.lib.hokudai.ac.jp:2115/188842018-03-01T07:12:59Zhdl_2115_20039hdl_2115_116Optimal Long-Term Investment Model with MemoryInoue, AkihikoNakano, Yumiharu338.01We 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.SpringerJournal Articleapplication/pdfhttp://hdl.handle.net/2115/18884https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/18884/1/AMO55-1.pdf0095-46161432-0606Applied Mathematics and Optimization551931222007enginfo:doi/10.1007/s00245-006-0867-0The original publication is available at www.springerlink.comauthor