Fractional Liu uncertain differential equation and its application to finance

Alireza Najafi and Rahman Taleghani

Chaos, Solitons & Fractals, 2022, vol. 165, issue P2

Abstract: This paper concentrates on fractional Liu as a long memory process to describe the uncertain part of the financial models. First, we study the existence and uniqueness solution of the fractional Liu differential equation by using the mathematical properties of the fractional Liu process. As well as applying statistical criteria, we indicate that the real data market has a long memory property. Then, we consider the fractional Liu geometric model and calibrate its parameters to predict the future asset price. Ultimately, we apply the Cardinality Constraints Mean–Variance (CCMV) and the proposed models to find portfolio optimization as a meaningful application of the fractional uncertain financial models.

Keywords: Fractional Liu process; Fractional Liu differential equation; Fractional Liu geometric model; Portfolio optimization (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:165:y:2022:i:p2:s0960077922010542

DOI: 10.1016/j.chaos.2022.112875

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