Optimal Long-Term Investment Model with Memory

Inoue, Akihiko; Nakano, Yumiharu

Applied Mathematics and Optimization, 2007, 55(1), 93-122

Permalink : https://hdl.handle.net/2115/18884

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アクセス権	open access
URI	https://hdl.handle.net/2115/18884
タイトル	Optimal Long-Term Investment Model with Memory
著者	著者名 Inoue, Akihiko
著者	著者名 Nakano, Yumiharu
言語	英語
発行日	2007
出版者	Springer
収録物名	Applied Mathematics and Optimization
巻(号)	55(1)
ページ	93-122
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.
資源タイプ	学術雑誌論文
出版タイプ	Accepted Manuscript
権利情報	The original publication is available at www.springerlink.com
PISSN	0095-4616
EISSN	1432-0606
関連情報 (isVersionOf)	出版社版DOI https://doi.org/10.1007/s00245-006-0867-0