Optimal long term investment model with memory

Akihiko Inoue and Yumiharu Nakano

Papers from arXiv.org

Abstract: We consider a financial market model driven by an R^n-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 paremeters is also considered.

Date: 2005-06, Revised 2006-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/math/0506621 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0506621

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().