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Optimal long term investment model with memory

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Please use this identifier to cite or link to this item:http://doi.org/10.14943/83882

Title: Optimal long term investment model with memory
Authors: Inoue, Akihiko Browse this author
Nakano, Yumiharu Browse this author
Issue Date: 30-Jun-2005
Journal Title: Hokkaido University Preprint Series in Mathematics
Volume: 732
Start Page: 1
End Page: 23
Abstract: We consider an investment model with memory in which the prices of n risky assets are driven by an Rn-valued Gaussian process with stationary increments that is different from Brownian motion. The driving process consists of n independent components, and each component is characterized by two parameters describing the memory. For the model, we explicitly solve the problem of maximizing the expected growth rate as well as that of maximizing the probability of overperforming a given benchmark.
Type: bulletin (article)
URI: http://hdl.handle.net/2115/69540
Appears in Collections:理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

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