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Optimal Long-Term Investment Model with Memory

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タイトル: Optimal Long-Term Investment Model with Memory
著者: Inoue, Akihiko 著作を一覧する
Nakano, Yumiharu 著作を一覧する
発行日: 2007年
出版者: Springer
誌名: Applied Mathematics and Optimization
巻: 55
号: 1
開始ページ: 93
終了ページ: 122
出版社 DOI: 10.1007/s00245-006-0867-0
抄録: 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
資料タイプ: article (author version)
出現コレクション:雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

提供者: 井上 昭彦


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