On optimal investment with processes of long or negative memory

Huy N. Chau and Miklós Rásonyi

Stochastic Processes and their Applications, 2018, vol. 128, issue 4, 1095-1113

Abstract: We consider the problem of utility maximization for investors with power utility functions. Building on the earlier work Larsen et al. (2016), we prove that the value of the problem is a Fréchet-differentiable function of the drift of the price process, provided that this drift lies in a suitable Banach space.

Date: 2018
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DOI: 10.1016/j.spa.2017.07.006

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