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Optimal Long-Term Investment Model with Memory

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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
Type: article (author version)
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)

Submitter: 井上 昭彦

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